کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5069345 1476986 2016 11 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Modelling oil and gas stock returns using multi factor asset pricing model including oil price exposure
ترجمه فارسی عنوان
مدل سازی سهام نفت و گاز با استفاده از مدل قیمت گذاری دارایی چند فاکتور، شامل قرار گرفتن در معرض قیمت نفت، می باشد
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
چکیده انگلیسی


- Our findings suggest that oil price shock has an effect on the oil and gas companies' stock returns.
- We found an evidence for the existence of asymmetric effect in the Brent crude oil price with oil price increases being more significant than oil price decreases.
- The market factor was discovered to be significant in almost all the oil and gas stocks. The finding demonstrates the importance of systematic risk in the determination of the excess return of the individual stocks.
- Global financial crisis of 2007 was not found to have a significant impact in the determination of oil companies' stock returns compared to the recent falling oil prices in 2014 to 2015.

Oil and gas is one of the most important sectors in every economy and the valuation of oil and gas companies becomes quite challenging due to the volatility of crude oil price. The paper investigates the determinants of the UK oil and gas stock returns using multi factor asset pricing model and the existence of asymmetric effects in the Brent crude oil price. Our results show that market risk, oil price risk, size and book-to-market related factors are all relevant in the determination of asset returns of the oil and gas companies quoted on the London stock exchange. Oil price increases and decreases decomposed separately have more effect on the oil companies' stock returns than the normal log changes of the price which show the presence of asymmetric effect. However, the oil price shocks in general do not seem to strongly affect stock returns in oil and gas sector possibly due to horizontal and vertical integration of bigger companies in the sector.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Finance Research Letters - Volume 18, August 2016, Pages 89-99
نویسندگان
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