Arezki, Rabah; Cho, Caleb; Nguyen, Ha; Nguyen, Kate; … - 2022
This paper explores the effect of oil price fluctuations on the stock returns of U.S. oil firms using an identification strategy through heteroskedasticity, exploiting the 2020 oil price crash. The results are twofold. First, a decline in oil prices significantly reduces oil firms' stock...