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New evidence on oil price and firm returns

Author

Listed:
  • 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.

Suggested Citation

  • Narayan, Paresh Kumar & Sharma, Susan Sunila, 2011. "New evidence on oil price and firm returns," Journal of Banking & Finance, Elsevier, vol. 35(12), pages 3253-3262.
  • Handle: RePEc:eee:jbfina:v:35:y:2011:i:12:p:3253-3262
    DOI: 10.1016/j.jbankfin.2011.05.010
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    References listed on IDEAS

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    More about this item

    Keywords

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

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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