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Oil price risk exposure and the cross-section of stock returns: The case of net exporting countries
16 references·7 citing·36 second hop
Oil price risk exposure and the cross-section of stock returns: The case of net exporting countries (2015)Oil price risk exposure and the cross-sec…Index Investment and the Financialization of Commodities (2012)Index Investment and the Fina…THE IMPACT OF OIL PRICE SHOCKS ON THE U.S. STOCK MARKET* (2009)THE IMPACT OF OIL PRICE SHOCK…The Economic Effects of Energy Price Shocks (2008)The Economic Effects of Energ…Oil price shocks and stock markets in the U.S. and 13 European countries (2008)Oil price shocks and stock ma…Idiosyncratic risk and the cross-section of expected stock returns (2008)Idiosyncratic risk and the cr…High idiosyncratic volatility and low returns: International and further U.S. evidence (2008)High idiosyncratic volatility…Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches (2008)Estimating Standard Errors in…The Cross‐Section of Volatility and Expected Returns (2006)The Cross‐Section of Volatili…Oil price risk and emerging stock markets (2006)Oil price risk and emerging s…Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches (2006)Estimating Standard Errors in…The High‐Volume Return Premium (2001)The High‐Volume Return PremiumOil and the Stock Markets (1996)Oil and the Stock MarketsEnergy shocks and financial markets (1996)Energy shocks and financial m…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…The Cross-Section of Expected Stock Returns (1992)The Cross-Section of Expected…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…Oil price uncertainty and stock price crash risk: Evidence from China (2022)Oil price uncertainty and sto…Time-varying energy and stock market integration in Asia (2019)Time-varying energy and stock…Equity Return Dispersion and Stock Market Volatility: Evidence from Multivariate Linear and Nonlinear Causality Tests (2019)Equity Return Dispersion and …Oil Price Volatility and Corporate Decisions: Evidence from the GCC Region (2018)Oil Price Volatility and Corp…Impact of oil price risk on sectoral equity markets: Implications on portfolio management (2018)Impact of oil price risk on s…Does speculation in the oil market drive investor herding in emerging stock markets? (2017)Does speculation in the oil m…Can stock market investors hedge energy risk? Evidence from Asia (2017)Can stock market investors he…Stock Returns, Real Activity, Inflation, and Money (1981)What is an Oil Shock? (2000)Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market (2009)Dynamic correlation between stock market and oil prices: The case of oil-importing and oil-exporting countries (2011)THE ROLE OF INVENTORIES AND SPECULATIVE TRADING IN THE GLOBAL MARKET FOR CRUDE OIL (2013)Oil prices, US stock return, and the dependence between their quantiles (2015)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Illiquidity and stock returns: cross-section and time-series effects (2002)A five-factor asset pricing model (2014)The Behavior of Stock-Market Prices (1965)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Editor's Choice Digesting Anomalies: An Investment ApproachThe Pricing of Options and Corporate Liabilities (1973)On Persistence in Mutual Fund Performance (1997)Liquidity and leverage (2008)… and the Cross-Section of Expected Returns (2015)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Oil and the Macroeconomy since World War II (1983)Investigating Causal Relations by Econometric Models and Cross-Spectral Methods (2010)Specification Tests in Econometrics (1978)Econometric Analysis of Cross Section and Panel Data (2001)More Than Words: Quantifying Language to Measure Firms' Fundamentals (2008)Common Errors: How to (and Not to) Control for Unobserved Heterogeneity (2012)Corporate Immunity to the COVID-19 Pandemic (2020)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Expected Stock Returns and Variance Risk Premia (2009)Maxing out: Stocks as lotteries and the cross-section of expected returns (2010)Arbitrage Asymmetry and the Idiosyncratic Volatility Puzzle (2015)Financialization of Commodity Markets (2013)Speculators, commodities and cross-market linkages (2013)A Model of Financialization of Commodities (2016)Robust Standard Errors for Panel Regressions with Cross-Sectional Dependence (2007)Robust Inference With Multiway Clustering (2011)Policy Uncertainty and Corporate Investment (2015)
this work references cited by second hop

References

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  • 2009THE IMPACT OF OIL PRICE SHOCKS ON THE U.S. STOCK MARKET*1,837 cited
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  • 2012Index Investment and the Financialization of Commodities1,333 cited
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  • 2008Idiosyncratic risk and the cross-section of expected stock returns1,067 cited
  • 2006Oil price risk and emerging stock markets932 cited

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The High‐Volume Return Premium
860 cited

Cited by

  • 2018Impact of oil price risk on sectoral equity markets: Implications on portfolio management85 cited
  • 2017Can stock market investors hedge energy risk? Evidence from Asia81 cited
  • 2022Oil price uncertainty and stock price crash risk: Evidence from China77 cited
  • 2019Time-varying energy and stock market integration in Asia76 cited
  • 2017Does speculation in the oil market drive investor herding in emerging stock markets?75 cited
  • 2019Equity Return Dispersion and Stock Market Volatility: Evidence from Multivariate Linear and Nonlinear Causality Tests38 cited
  • 2018Oil Price Volatility and Corporate Decisions: Evidence from the GCC Region28 cited