Oil Price Implied Structural Shocks and Cross-sectional Stock Returns

36 Pages Posted: 4 Oct 2016 Last revised: 17 Apr 2019

See all articles by Dayong Huang

Dayong Huang

University of North Carolina (UNC) at Greensboro - Bryan School of Business & Economics

Jianjun Miao

Boston University - Department of Economics

Date Written: April 8, 2019

Abstract

High oil beta stocks earn higher returns than low oil beta stocks following periods of positive relationship between oil price changes and the aggregate market return, or following periods of favorable aggregate demand shock for industry commodities, and vice versa. When excluding high and low oil betas stocks from anomalies based on profitability, asset growth and momentum by incorporating the signs of the aggregate demand shock for industry commodity, the magnitude of the anomalous returns may be lowered by 38%.

Keywords: oil prices, return spread, cross section, factor model

JEL Classification: G12

Suggested Citation

Huang, Dayong and Miao, Jianjun, Oil Price Implied Structural Shocks and Cross-sectional Stock Returns (April 8, 2019). Available at SSRN: https://ssrn.com/abstract=2847514 or http://dx.doi.org/10.2139/ssrn.2847514

Dayong Huang (Contact Author)

University of North Carolina (UNC) at Greensboro - Bryan School of Business & Economics ( email )

401 Bryan Building
Greensboro, NC 27402-6179
United States

HOME PAGE: http://sites.google.com/a/uncg.edu/dayong-huang/

Jianjun Miao

Boston University - Department of Economics ( email )

270 Bay State Road
Boston, MA 02215
United States
617-353-6675 (Phone)

HOME PAGE: http://people.bu.edu/miaoj

Register to save articles to
your library

Register

Paper statistics

Downloads
177
Abstract Views
1,085
rank
173,576
PlumX Metrics