Oil Shocks and Equity Returns: An Empirical Analysis of the US Transportation Sector

Sunil K. Mohanty () and Mohan Nandha ()
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Sunil K. Mohanty: Department of Finance, Opus College of Business, University of St. Thomas, 1000 LaSalle Avenue, Minneapolis, MN 55403, USA
Mohan Nandha: Department of Accounting and Finance, Monash University, P.O. Box 527, Frankston VIC Australia 3199, Australia

Review of Pacific Basin Financial Markets and Policies (RPBFMP), 2011, vol. 14, issue 01, 101-128

Abstract: The main purpose of this paper is to investigate the relation between oil price movements and stock returns in US transportation companies. We estimate oil price risk exposures of the US oil transport sector at the firm level as well as at the industry level over November 1999 to February 2008 period using the Fama–French–Carhart's (1997) four-factor asset pricing model augmented with oil price and interest rate factors. Overall, the results of our study suggest that oil price exposures of firms in the US transportation sector vary across firms and over time. The varying effects of oil shocks on stock returns may be attributed to several factors such as differences among firms' cost structure, financial policies, diversification activities, and hedging strategies.

Keywords: Oil shocks; stock returns; transportation industry (search for similar items in EconPapers)
JEL-codes: G1 G2 G3 (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (18)

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DOI: 10.1142/S0219091511002159

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