| . |
Gerben Driesprong's
Scholarly Papers
Click on the title of any column to sort the table by that
column. |
|
|
| |
|
|
Aggregate Statistics |
|
Total
Downloads
6,369 |
Total
Citations
5 |
|
|
|
|
|
1.
|
|
Striking Oil: Another Puzzle?
|
Show Abstracts |
Hide Abstracts |
Versions (3)
|
hide multiple versions |
Export Bibliographic Info |
|
Gerben Driesprong
Erasmus University Rotterdam - Rotterdam School of Management Ben Jacobsen
Massey University - Department of Economics and Finance, Albany Benjamin Maat
APG Investments
|
|
Posted:
|
|
14 Aug 05
|
|
Last Revised:
|
|
30 Sep 08
|
|
6,369
( 147) |
5
|
|
|
|
|
Gerben Driesprong
Erasmus University Rotterdam - Rotterdam School of Management Ben Jacobsen
Massey University - Department of Economics and Finance, Albany Benjamin Maat
APG Investments
|
| Posted: |
|
20 Sep 07
|
|
Last Revised:
|
|
20 Sep 07
|
|
0
|
|
|
| |
Abstract:
Changes in oil prices predict stock market returns worldwide. In our thirty year sample of monthly returns for developed stock markets, we find statistically significant predictability for twelve out of eighteen countries as well as for the world market index. Results are similar for our shorter time series of emerging markets. We find no evidence that our results can be explained by time varying risk premia. Even though oil price shocks increase risk, investors seem to underreact to information in the price of oil: a rise in oil prices does not lead to higher stock market returns, but drastically lowers returns. For instance, an oil price shock of one standard deviation (around 10 percent) predictably lowers world market returns by one percent. Oil price changes also significantly predict negative excess returns. Our findings are consistent with the hypothesis of a delayed reaction by investors to oil price changes. In line with this hypothesis the relation between monthly stock returns and lagged monthly oil price changes becomes substantially stronger once we introduce lags of several trading days between monthly stock returns and lagged monthly oil price changes.
Return Predictability, Oil Prices, International Stock Markets, Market Efficiency, Stock Returns, Underreaction
|
|
|
|
|
|
|
Gerben Driesprong
Erasmus University Rotterdam - Rotterdam School of Management Ben Jacobsen
Massey University - Department of Economics and Finance, Albany Benjamin Maat
APG Investments
|
| Posted: |
|
30 Nov 06
|
|
Last Revised:
|
|
30 Sep 08
|
|
680
|
5
|
|
| |
Abstract:
We find that changes in oil prices strongly predict future stock market returns in many countries in the world. In our thirty year sample of monthly data for developed stock markets, we find statistically significant predictability in 12 out of the 18 countries and in a world market index. For our shorter time series of emerging markets we obtain similar results. We show that these results are economically significant and robust with respect to the sample period, different kind of oil prices we consider and well known effects like the January effect and the Halloween effect.
return predictability, oil prices, international stock markets, market efficiency, stock returns, besliskunde
|
|
|
|
|
|
|
Gerben Driesprong
Erasmus University Rotterdam - Rotterdam School of Management Ben Jacobsen
Massey University - Department of Economics and Finance, Albany Benjamin Maat
APG Investments
|
| Posted: |
|
14 Aug 05
|
|
Last Revised:
|
|
23 Sep 07
|
|
5,689
|
4
|
|
| |
Abstract:
Changes in oil prices predict stock market returns worldwide. In our thirty year sample of monthly returns for developed stock markets, we find statistically significant predictability for twelve out of eighteen countries as well as for the world market index. Results are similar for our shorter time series of emerging markets. We find no evidence that our results can be explained by time varying risk premia. Even though oil price shocks increase risk, investors seem to underreact to information in the price of oil: a rise in oil prices does not lead to higher stock market returns, but drastically lowers returns. For instance, an oil price shock of one standard deviation (around 10 percent) predictably lowers world market returns by one percent. Oil price changes also significantly predict negative excess returns. Our findings are consistent with the hypothesis of a delayed reaction by investors to oil price changes. In line with this hypothesis the relation between monthly stock returns and lagged monthly oil price changes becomes substantially stronger once we introduce lags of several trading days between monthly stock returns and lagged monthly oil price changes.
Return Predictability, Oil Prices, International Stock Markets, Market Efficiency, Stock Returns, Underreaction
|
|
|
|
|
