Risk factors in oil and gas industry returns: International evidence

Ramos, Sofia B.; Veiga, Helena

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Campo DC	Valor	Idioma
dc.contributor.author	Ramos, Sofia B.	-
dc.contributor.author	Veiga, Helena	-
dc.date.accessioned	2014-04-07T18:10:37Z	-
dc.date.available	2014-04-07T18:10:37Z	-
dc.date.issued	2011	-
dc.identifier	http://dx.doi.org/10.1016/j.eneco.2010.10.005	en_US
dc.identifier.issn	0140-9883	por
dc.identifier.uri	https://ciencia.iscte-iul.pt/public/pub/id/14215	en_US
dc.identifier.uri	http://hdl.handle.net/10071/6878	-
dc.description	WOS:000289827300018 (Nº de Acesso Web of Science)	-
dc.description	“Prémio Científico ISCTE-IUL 2012”	-
dc.description.abstract	The recent boom in oil prices has attracted many investors to oil companies in search of both returns and diversification benefits. This analysis of the risk factors of investing in the oil and gas industry in 34 countries finds evidence that oil price is a globally priced factor for the oil industry. The oil and gas sector in developed countries responds more strongly to oil price changes than in emerging markets. Oil and gas industry returns also respond asymmetrically to changes in oil prices; oil price rises have a greater impact than oil price drops. There is no parallel to the asymmetry of oil price changes in other industries related to commodities. If there is any asymmetry, it is in the opposite direction from oil. Negative commodity price changes have a greater impact than positive ones. The results seem to indicate that the oil and gas industry is distinguished by a pass-through effect.	por
dc.language.iso	eng	por
dc.publisher	Elsevier	por
dc.rights	embargoedAccess	por
dc.subject	Asymmetric effects	por
dc.subject	Commodity price risk	por
dc.subject	Multifactor asset pricing models	por
dc.subject	Net oil prices	por
dc.subject	Oil industry	por
dc.subject	Panel data	por
dc.subject	Scaled oil prices	por
dc.title	Risk factors in oil and gas industry returns: International evidence	por
dc.type	article	en_US
dc.pagination	525-542	por
dc.publicationstatus	Publicado	por
dc.peerreviewed	Sim	por
dc.relation.publisherversion	The definitive version is available at: http://dx.doi.org/10.1016/j.eneco.2010.10.005	por
dc.journal	Energy Economics	por
dc.distribution	Internacional	por
dc.volume	33	por
dc.number	3	por
degois.publication.firstPage	525	por
degois.publication.lastPage	542	por
degois.publication.issue	3	por
degois.publication.title	Energy Economics	por
dc.date.updated	2014-04-07T18:08:00Z	-
Aparece nas coleções:	BRU-RI - Artigos em revistas científicas internacionais com arbitragem científica