Risk factors and value at risk in publicly traded companies of the nonrenewable energy sector

We show that specific and common risk factors are priced. Specific risk factors including company size and leverage are important in explaining returns of energy companies and those companies became more exposed to credit concerns after the financial crisis of 2008. Common risk factors including the U.S. Dow Jones market excess return, the VIX, the WTI price of crude oil, and the FX of the Euro, Chinese yuan, Brazilian real, Japanese yen and British pound vis-à-vis the U.S. dollar are also important in explaining energy company returns. The foreign exchange effect accounts for the fact that many companies in the sector receive revenues denominated in domestic currency while their costs are in foreign currency.