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New evidence on oil price and firm returns

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  • Narayan, Paresh Kumar
  • Sharma, Susan Sunila

Abstract

In this paper, we examine the relationship between oil price and firm returns for 560 US firms listed on the NYSE. First, we find that oil price affects returns of firms differently depending on their sectoral location. Second, we find strong evidence of lagged effect of oil price on firm returns. Third, we test whether oil price affects firm returns based on different regimes and find that in five out of the 14 sectors this is indeed the case. Finally, we unravel that oil price affects firm returns differently based on firm size, implying strong evidence of size effects.

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Bibliographic Info

Article provided by Elsevier in its journal Journal of Banking & Finance.

Volume (Year): 35 (2011)
Issue (Month): 12 ()
Pages: 3253-3262

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Handle: RePEc:eee:jbfina:v:35:y:2011:i:12:p:3253-3262

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

Related research

Keywords: Oil price; Firm returns; Sectors; Lagged effect; Firm size;

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