New Evidence on Oil Price and Firm Returns

Journal of Banking and Finance, Vol. 35, No. 12, pp. 3253-3262, 2011

Posted: 10 Jun 2012

See all articles by Paresh Kumar Narayan

Paresh Kumar Narayan

Deakin University - School of Accounting, Economics and Finance

Susan Sharma

Deakin University; Deakin University; Deakin University

Date Written: 2011

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.

Suggested Citation

Narayan, Paresh Kumar and Sharma, Susan, New Evidence on Oil Price and Firm Returns (2011). Journal of Banking and Finance, Vol. 35, No. 12, pp. 3253-3262, 2011, Available at SSRN: https://ssrn.com/abstract=2080818

Paresh Kumar Narayan (Contact Author)

Deakin University - School of Accounting, Economics and Finance ( email )

221 Burwood Highway
Burwood, Victoria 3215
Australia

Susan Sharma

Deakin University ( email )

75 Pigdons Road
Victoria, Victoria 3216
Australia

Deakin University ( email )

75 Pigdons Road
Victoria, Victoria 3216
Australia

Deakin University ( email )

75 Pigdons Road
Victoria, Victoria 3216
Australia

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