Estimating Oil Risk Factors Using Information from Equity and Derivatives Markets

• 成果类型: Article
• 署名作者: Chiang, I-Hsuan Ethan; Hughen, W. Keener; Sagi, Jacob S.
• 署名单位: University of North Carolina; University of North Carolina Charlotte; University of North Carolina; University of North Carolina Chapel Hill
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.12222
• 发表日期: 2015
• 页码: 769-804
• 关键词: stochastic volatility; MODEL; equilibrium; shocks; price; industry; returns; futures; stocks

摘要

We introduce a novel approach to estimating latent oil risk factors and establish their significance in pricing nonoil securities. Our model, which features four factors with simple economic interpretations, is estimated using both derivative prices and oil-related equity returns. The fit is excellent in and out of sample. The extracted oil factors carry significant risk premia, and are significantly related to macroeconomic variables as well as portfolio returns sorted on characteristics and industry. The average nonoil portfolio exhibits a sensitivity to the oil factors amounting to a sixth (in magnitude) of that of the oil industry itself.