Common and fundamental factors in stock returns of Canadian oil and gas companies
AbstractIn this paper, we assess the determinants of Canadian oil and gas stocks returns. We find that the stock return of Canadian energy stock is positively associated with returns on the Canadian stock market, appreciations of crude oil and natural gas prices, growth in internal cash flows and proven reserves, and negatively with interest rates. Surprisingly, however, production volume and a weakening of the Canadian dollar against the U.S. dollar have a negative impact. This latter impact is more pronounced for oil producers than for integrated energy companies. Finally, we find that the influence of the exchange rate, the market return and prices of natural gas on Canadian oil and gas stocks changes significantly over the years 1995-1998 and 2000-2002. Le but de cet article est de mesurer ce qui influence le rendement des actions d'entreprises pÃ©troliÃ¨res et gaziÃ¨res canadiennes. Nous trouvons que le rendement des actions de ces entreprises Ã©nergÃ©tiques est influencÃ© positivement par le rendement du marchÃ© canadien dans son ensemble, par une apprÃ©ciation du prix du pÃ©trole et du gaz naturel, par une croissance dans les flux monÃ©taires discrÃ©tionnaires de l'entreprise, par la quantitÃ© de rÃ©serves prouvÃ©es de l'entreprise. Nous trouvons Ã©galement que le volume de production et une dÃ©prÃ©ciation du dollar canadien par rapport Ã la devise amÃ©ricaine rÃ©duit sensiblement le rendement des titres Ã©nergÃ©tiques, ce qui va Ã l'encontre de notre hypothÃ¨se initiale. L'impact du taux de change est encore plus marquÃ© pour les producteurs indÃ©pendants que pour les entreprises intÃ©grÃ©es. En dernier lieu, nous montrons que le marchÃ© a subi une cassure significative entre les annÃ©es 1995-1998 et 2000-2002, spÃ©cialement pour ce qui est de l'impact du taux de change, du rendement de marchÃ© et du pris du gaz naturel.
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Bibliographic InfoArticle provided by Elsevier in its journal Energy Economics.
Volume (Year): 29 (2007)
Issue (Month): 3 (May)
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Web page: http://www.elsevier.com/locate/eneco
Other versions of this item:
- M. Martin Boyer & Didier Filion, 2004. "Common and Fundamental Factors in Stock Returns of Canadian Oil and Gas Companies," CIRANO Working Papers 2004s-62, CIRANO.
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