Modelling oil and gas stock returns using multi factor asset pricing model including oil price exposure
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Diaz, Elena Maria & de Gracia, Fernando Perez, 2017. "Oil price shocks and stock returns of oil and gas corporations," Finance Research Letters, Elsevier, vol. 20(C), pages 75-80.
- Batten, Jonathan A. & Ciner, Cetin & Lucey, Brian M., 2017. "The dynamic linkages between crude oil and natural gas markets," Energy Economics, Elsevier, vol. 62(C), pages 155-170.
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- repec:taf:oaefxx:v:5:y:2017:i:1:p:1318812 is not listed on IDEAS
- Luo, Xingguo & Qin, Shihua, 2017. "Oil price uncertainty and Chinese stock returns: New evidence from the oil volatility index," Finance Research Letters, Elsevier, vol. 20(C), pages 29-34.
More about this item
KeywordsAsset pricing model; Brent crude oil; Asymmetry in oil price; Size effect; Book to market ratio; Oil and gas sector; Oil price exposure; Structural breaks;
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
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