Striking oil: Another puzzle?

• 成果类型: Article
• 署名作者: Driesprong, Gerben; Jacobsen, Ben; Maat, Benjamin
• 署名单位: Massey University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2007.07.008
• 发表日期: 2008
• 页码: 307-327
• 关键词: Return predictability; oil prices; International stock markets; market efficiency; stock returns; underreaction

摘要

Changes in oil prices predict stock market returns worldwide. We find significant predictability in both developed and emerging markets. These results cannot be explained by time-varying risk premia as oil price changes also significantly predict negative excess returns. Investors seem to underreact to information in the price of oil. A rise in oil prices drastically lowers future stock returns. Consistent with the hypothesis of a delayed reaction by investors, the relation between monthly stock returns and lagged monthly oil price changes strengthens once we introduce lags of several trading days between monthly stock returns and lagged monthly oil price changes. (C) 2008 Elsevier B.V. All rights reserved.