New evidence on oil price and firm returns

Paresh Narayan () and Susan Sharma

Journal of Banking & Finance, 2011, vol. 35, issue 12, 3253-3262

Abstract: In this paper, we examine the relationship between oil price and firm returns for 560 US firms listed on the NYSE. First, we find that oil price affects returns of firms differently depending on their sectoral location. Second, we find strong evidence of lagged effect of oil price on firm returns. Third, we test whether oil price affects firm returns based on different regimes and find that in five out of the 14 sectors this is indeed the case. Finally, we unravel that oil price affects firm returns differently based on firm size, implying strong evidence of size effects.

Keywords: Oil price; Firm returns; Sectors; Lagged effect; Firm size (search for similar items in EconPapers)
JEL-codes: G12 G15 (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (325)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jbfina:v:35:y:2011:i:12:p:3253-3262

DOI: 10.1016/j.jbankfin.2011.05.010

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