Oil stocks, risk factors, and tail behavior

Ziying Lian, Jun Cai and Robert I. Webb

Energy Economics, 2020, vol. 91, issue C

Abstract: Early studies of oil stocks focus exclusively on the average relationship between oil price changes and individual stock returns. In this paper, we examine how the tail behavior of risk factors affects the tail behavior of individual oil stock returns. We consider a total of 25 widely-used risk factors from the asset pricing literature. These risk factors include 14 stock market factors, three bond market factors, and eight commodity market factors. We find that the excess stock market return, the change in CBOE aggregate market volatility index, the commodity market index return, the change in the prices of oil futures contracts, and the change in CBOE oil ETF volatility index have the largest impact in moving oil stocks tail returns.

Keywords: Oil stocks; Univariate conditional exceedance; Multivariate conditional exceedance; Risk factors; Tail risks (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (10)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:eneeco:v:91:y:2020:i:c:s0140988320302723

DOI: 10.1016/j.eneco.2020.104932

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