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Oil price shocks and transportation firm asset prices

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  • Aggarwal, Raj
  • Akhigbe, Aigbe
  • Mohanty, Sunil K.

Abstract

The transportation sector is a major user of oil-based energy. Even as oil prices continue to fluctuate greatly, the impact of oil price changes on transportation firms has heretofore not been adequately examined. This paper fills this gap, documenting important new findings based on analysis of over two decades of daily data on large changes in oil prices (oil price shocks). First, while transportation firm returns are influenced negatively by oil price increases, risks are increased more by oil price declines. Second, firm characteristics are important with the market-to-book ratio being the most important firm characteristic, and ROA, firm size, and the prior run up in prices are also important in influencing oil price related returns, betas, variances, and trading volumes. Third, in the S&P transportation sub-sector, industry concentration is negatively related to returns, oil price risk, and trading volume, and asymmetrically related to returns and market betas. These new findings enhance our understanding of the asset price impact of oil price shocks and should be of much interest to scholars, corporate executives, money managers, regulators, and policy makers.

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Bibliographic Info

Article provided by Elsevier in its journal Energy Economics.

Volume (Year): 34 (2012)
Issue (Month): 5 ()
Pages: 1370-1379

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Handle: RePEc:eee:eneeco:v:34:y:2012:i:5:p:1370-1379

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Web page: http://www.elsevier.com/locate/eneco

Related research

Keywords: Oil shocks; Stock returns; Transportation industry;

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Cited by:
  1. Asche, Frank & Dahl, Roy Endre & Oglend, Atle, 2013. "Value-at-Risk: Risk assessment for the portfolio of oil and gas producers," UiS Working Papers in Economics and Finance 2013/3, University of Stavanger.
  2. Mohanty, Sunil & Nandha, Mohan & Habis, Essam & Juhabi, Eid, 2014. "Oil price risk exposure: The case of the U.S. Travel and Leisure Industry," Energy Economics, Elsevier, vol. 41(C), pages 117-124.

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