Can stale oil price news predict stock returns?

Paresh Kumar Narayan

Energy Economics, 2019, vol. 83, issue C, 430-444

Abstract: We hand-collect time-series data on positive and negative oil price news from 100 news sources from around the world, covering 59,129 news articles on oil prices. Using time-series predictive regression models estimated for 45 countries, we show that: (a) positive and negative news predict stock returns for at most 12 countries for which the oil price does not predict returns; and (b) together the three oil price measures predict returns for at most 23/45 countries. Therefore, oil price news turns out to be more powerful in predicting returns in a horserace with oil price. We show that the ability of oil to predict returns is through the discount rate and cash flow channels. Our results survive a battery of robustness tests.

Keywords: Oil price news; Stock returns; Predictive regression; Time-series (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (44)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:eneeco:v:83:y:2019:i:c:p:430-444

DOI: 10.1016/j.eneco.2019.07.022

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