Investment and oil price volatility
AbstractIn this note, we consider the relationship between oil price volatility and firm returns for 560 firms listed on the New York Stock Exchange. Using daily time series data from 2000 to 2008, we find that oil price volatility increases firm returns for the majority of the firms in our sample.
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Bibliographic InfoPaper provided by Deakin University, Faculty of Business and Law, School of Accounting, Economics and Finance in its series Financial Econometics Series with number 2011_14.
Date of creation: 21 Nov 2011
Date of revision:
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Investment; oil price; volatility;
Other versions of this item:
- C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
- D4 - Microeconomics - - Market Structure and Pricing
This paper has been announced in the following NEP Reports:
- NEP-ALL-2011-12-19 (All new papers)
- NEP-BEC-2011-12-19 (Business Economics)
- NEP-ENE-2011-12-19 (Energy Economics)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Dr Susan S Sharma).
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