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Modelling oil and gas stock returns using multi factor asset pricing model including oil price exposure

Citations

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Cited by:

  1. Salisu, Afees A. & Raheem, Ibrahim D. & Ndako, Umar B., 2019. "A sectoral analysis of asymmetric nexus between oil price and stock returns," International Review of Economics & Finance, Elsevier, vol. 61(C), pages 241-259.
  2. Scott Alan Carson, 2022. "Long-Term Daily Equity Returns Across Sectors of the Oil and Gas Industry, 2000–2019," Journal of Industry, Competition and Trade, Springer, vol. 22(1), pages 125-143, March.
  3. Wei, Lu & Li, Guowen & Zhu, Xiaoqian & Sun, Xiaolei & Li, Jianping, 2019. "Developing a hierarchical system for energy corporate risk factors based on textual risk disclosures," Energy Economics, Elsevier, vol. 80(C), pages 452-460.
  4. Mushtaq Hussain Khan & Junaid Ahmed & Mazhar Mughal & Imtiaz Hussain Khan, 2023. "Oil price volatility and stock returns: Evidence from three oil‐price wars," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(3), pages 3162-3182, July.
  5. Carson, Scott Alan, 2020. "United States oil and gas stock returns with multi-factor pricing models: 2008–2018," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
  6. Son, Bumho & Lee, Jaewook, 2022. "Graph-based multi-factor asset pricing model," Finance Research Letters, Elsevier, vol. 44(C).
  7. 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.
  8. Navarre, Jeremy T. & Frazier, Jeremy A., 2022. "Econometric analysis of factors influencing commercial helicopter operators’ stock returns in the gulf of Mexico," Journal of Air Transport Management, Elsevier, vol. 99(C).
  9. Cedic, Samir & Mahmoud, Alwan & Manera, Matteo & Uddin, Gazi Salah, "undated". "Information Diffusion and Spillover Dynamics in Renewable Energy Markets," FEEM Working Papers 310361, Fondazione Eni Enrico Mattei (FEEM).
  10. Mohammad Enamul Hoque & Soo-Wah Low, 2020. "Industry Risk Factors and Stock Returns of Malaysian Oil and Gas Industry: A New Look with Mean Semi-Variance Asset Pricing Framework," Mathematics, MDPI, vol. 8(10), pages 1-28, October.
  11. Gogolin, Fabian & Kearney, Fearghal & Lucey, Brian M. & Peat, Maurice & Vigne, Samuel A., 2018. "Uncovering long term relationships between oil prices and the economy: A time-varying cointegration analysis," Energy Economics, Elsevier, vol. 76(C), pages 584-593.
  12. Miroslava Zavadska & Lucía Morales & Joseph Coughlan, 2018. "The Lead–Lag Relationship between Oil Futures and Spot Prices—A Literature Review," IJFS, MDPI, vol. 6(4), pages 1-22, October.
  13. Antonio Garcia-Amate & Laura Molero-González & Miguel Angel Sánchez-Granero & Juan Evangelista Trinidad-Segovia & Andres García-Medina, 2024. "Testing the significance of pricing factors of oil and gas companies," PLOS ONE, Public Library of Science, vol. 19(12), pages 1-18, December.
  14. Muhammad Surajo Sanusi, 2017. "Investigating the sources of Black’s leverage effect in oil and gas stocks," Cogent Economics & Finance, Taylor & Francis Journals, vol. 5(1), pages 1318812-131, January.
  15. Mohammad Enamul Hoque & Soo-Wah Low & Mohd Azlan Shah Zaidi, 2020. "The Effects of Oil and Gas Risk Factors on Malaysian Oil and Gas Stock Returns: Do They Vary?," Energies, MDPI, vol. 13(15), pages 1-22, July.
  16. 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.
  17. 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.
  18. Mohammad Enamul Hoque & Soo-Wah Low & Mohd Azlan Shah Zaidi & Lain-Tze Tee & Noor Azlan Ghazali, 2023. "Asymmetric and Lag Effects of Industry Risk Factors on the Malaysian Oil and Gas Stocks," SAGE Open, , vol. 13(3), pages 21582440231, July.
  19. Begüm Yurteri Kösedağlı & Gül Huyugüzel Kışla & A. Nazif Çatık, 2021. "The time-varying effects of oil prices on oil–gas stock returns of the fragile five countries," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 7(1), pages 1-22, December.
  20. Mohamad Husam Helmi & A. Nazif Catik & Begum Yurteri Kosedagli & Gul Serife Huyuguzel Kisla & Coskun Akdeniz, 2023. "The Effects of Energy Prices on Oil-Gas Sectoral Stock Returns for BRIC Countries: Evidence from Space State Models," International Journal of Energy Economics and Policy, Econjournals, vol. 13(6), pages 430-440, November.
  21. Wei, Lu & Jing, Haozhe & Huang, Jie & Deng, Yuqi & Jing, Zhongbo, 2023. "Do textual risk disclosures reveal corporate risk? Evidence from U.S. fintech corporations," Economic Modelling, Elsevier, vol. 127(C).
  22. Sunil K. Mohanty & Roar Aadland & Sjur Westgaard & Stein Frydenberg & Hilde Lillienskiold & Cecilie Kristensen, 2021. "Modelling Stock Returns and Risk Management in the Shipping Industry," JRFM, MDPI, vol. 14(4), pages 1-25, April.
  23. Mohmmad Enamul Hoque & Soo Wah Low & Mohd Azlan Shah Zaidi, 2020. "Do Oil and Gas Risk Factors Matter in the Malaysian Oil and Gas Industry? A Fama-MacBeth Two Stage Panel Regression Approach," Energies, MDPI, vol. 13(5), pages 1-15, March.
  24. Luo, Changqing & Qu, Yi & Su, Yaya & Dong, Liang, 2024. "Risk spillover from international crude oil markets to China’s financial markets: Evidence from extreme events and U.S. monetary policy," The North American Journal of Economics and Finance, Elsevier, vol. 70(C).
  25. Adekunle, Wasiu & Bagudo, Abubakar M. & Odumosu, Monsuru & Inuolaji, Suraj B., 2020. "Predicting stock returns using crude oil prices: A firm level analysis of Nigeria's oil and gas sector," Resources Policy, Elsevier, vol. 68(C).
  26. Ritesh Patel, 2025. "Analyzing the energy markets and financial markets linkage: A bibliometric analysis and future research agenda," Review of Financial Economics, John Wiley & Sons, vol. 43(1), pages 23-61, January.
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