Oil price risk exposure: The case of the U.S. Travel and Leisure Industry
AbstractWe investigate the oil price risk exposure of the U.S. Travel and Leisure industry. In this paper, we utilize the Fama–French–Carhart's (1997) four-factor asset pricing model augmented with oil price risk factor. The results of our study suggest that oil price sensitivities vary significantly across six subsectors: airlines, gambling, hotels, recreational services, restaurants and bars, and travel & tourism. The extent of the exposure is generally negative, but it is particularly significant for a number of subsectors including airlines, recreational services and restaurants and bars. We also document that oil price risk exposures vary considerably over time. In particular, the 2007–2009 recession triggered by the U.S. subprime lending crisis has significantly contributed to the oil price risk exposure of airline industry. These results should be of much interest to financial analysts, corporate executives, money managers, regulators, and policy makers.
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Bibliographic InfoArticle provided by Elsevier in its journal Energy Economics.
Volume (Year): 41 (2014)
Issue (Month): C ()
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Web page: http://www.elsevier.com/locate/eneco
Oil price risk exposure; Oil beta; Tourism and Leisure Industry;
Find related papers by JEL classification:
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- M21 - Business Administration and Business Economics; Marketing; Accounting - - Business Economics - - - Business Economics
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