High oil beta stocks earn higher returns than low oil beta stocks following periods of positive relationship between oil price changes and the aggregate market return, or following periods of favorable aggregate demand shock for industry commodities, and vice versa. When excluding high and low...

Based on data until the mid 2000s, oil price changes were shown to predict international equity index returns with a negative predictive slope. Extending the sample to 2015, we document that this relationship has been reversed over the last ten years and therefore has not been stable over time....

I extract three oil risk factors using oil futures prices and returns of oil related firms. The first factor accounts for news that uniformly affects expected oil prices at all horizons, the second factor accounts for news that affects near term expected oil prices, and the third factor accounts...

This paper examines the interdependence of China's policy uncertainty, the global oil market, and stock market returns in China. A structural VAR model is estimated that shows a positive shock to economic policy uncertainty in China has a delayed negative effect on global oil production, real...

The main goal of this paper is to examine whether oil price risk is systematically priced in the cross-section of stock returns in net oil-exporting countries even after controlling for market and firm-level risk factors. Using firm-level data from the Gulf Arab stock markets, we find that...

This paper examines the impact of structural oil price shocks on the covariance of U.S. stock market return and stock market volatility. We construct from daily data on return and volatility the covariance of return and volatility at monthly frequency. The measures of daily volatility are...