Oil price shocks and transportation firm asset prices

Energy Economics - Tập 34 - Trang 1370-1379 - 2012
Raj Aggarwal1, Aigbe Akhigbe2, Sunil K. Mohanty3
1Sullivan Professor of Finance, College of Business Administration, University of Akron, Akron, OH 44325, United States
2Department of Finance, College of Business Administration, University of Akron, Akron, OH 44325, United States
3Department of Finance, Opus College of Business, University of St. Thomas, Minneapolis, MN 55403, United States

Tài liệu tham khảo

Allayannis, 2001, The use of foreign currency derivatives and firm market value, Rev. Finan. Stud., 14, 243, 10.1093/rfs/14.1.243 Ball, 1994, Asymmetric price adjustment and economic fluctuations, Econ. J., 104, 247, 10.2307/2234746 Banz, 1981, The relationship between return and market value of common stocks, J. Finan. Econ., 9, 3, 10.1016/0304-405X(81)90018-0 Bernanke, 1983, Irreversibility, uncertainty, and cyclical investment, Q. J. Econ., 98, 85, 10.2307/1885568 Bettendorf, 2009, Do daily retail gasoline prices adjust asymmetrically?, J. Appl. Stat., 36, 385, 10.1080/02664760802466468 Bhandari, 1988, Debt/equity ratio and expected common stock returns: empirical evidence, J. Finance, 43, 507, 10.1111/j.1540-6261.1988.tb03952.x Borenstein, 1997, Do gasoline prices respond symmetrically to crude oil price changes?, Q. J. Econ., 112, 305, 10.1162/003355397555118 Boyer, 2007, Common and fundamental factors in stock returns of Canadian oil and gas companies, Energy Econ., 29, 428, 10.1016/j.eneco.2005.12.003 Chen, 1986, Economic forces and the stock market, J. Bus., 59, 383, 10.1086/296344 Davis, 1987, Allocative disturbances and specific capital in real business cycles theories, Am. Econ. Rev., 77, 326 Driesprong, 2008, Striking oil: another puzzle?, J. Finan. Econ., 89, 307, 10.1016/j.jfineco.2007.07.008 El-Sharif, 2005, Evidence on the nature and extent of the relationship between oil prices and equity values in the UK, Energy Econ., 27, 819, 10.1016/j.eneco.2005.09.002 Faff, 1999, Oil price risk and the Australian stock market, J. Energy Finance Devel., 4, 69, 10.1016/S1085-7443(99)00005-8 Ferson, 1991, The variation of economic risk premiums, J. Polit. Econ., 99, 385, 10.1086/261755 Ferson, 1994, Sources of risk expected returns in global equity markets, J. Bank. Financ., 18, 775, 10.1016/S0164-0704(96)80001-2 Financial Times, Equities hit by oil rise and geopolitical angst. August 21. 2006. Financial Times, Oil slide spurs global equity rally. October 12. 2006. Frey, 2007, Econometric models of asymmetric price transmission, J. Econ. Surv., 21, 349, 10.1111/j.1467-6419.2007.00507.x Godby, 2000, Testing for asymmetric pricing in the Canadian retail gasoline market, Energy Econ., 22, 349, 10.1016/S0140-9883(99)00030-4 Gogineni, 2010, Oil and the stock market: an industry level analysis, Finan. Rev., 45, 995, 10.1111/j.1540-6288.2010.00282.x Gwin, 2009, Asymmetric price adjustment: cross-industry evidence, South. Econ. J., 76, 249, 10.4284/sej.2009.76.1.249 Hamao, 1989, An empirical examination of the arbitrage pricing theory: using Japanese data, Japan World Economy, 1, 45, 10.1016/0922-1425(88)90005-9 Hamilton, 1983, Oil and macro-economy since World War II, J. Polit. Econ., 91, 228, 10.1086/261140 Hamilton, 1985, Historical causes of postwar oil shocks and recessions, Energy J., 6, 97, 10.5547/ISSN0195-6574-EJ-Vol6-No1-9 Hamilton, 1988, Are the macroeconomic effects of oil price changes symmetric? A comment, Carnegie-Rochester Conf. Ser. Public Pol., 28, 369, 10.1016/0167-2231(88)90031-0 Hamilton, 1996, This is what happened to the oil price-macroeconomy relationship, J. Monet. Econ., 38, 215, 10.1016/S0304-3932(96)01282-2 Hamilton, 2003, What is an oil shock?, J. Econ., 113, 363, 10.1016/S0304-4076(02)00207-5 Hammoudeh, 2005, Oil sensitivity and systematic risk in oil-sensitive stock markets, J. Econ. Bus., 57, 1, 10.1016/j.jeconbus.2004.08.002 Haugen, 1996, Commonality in the determinants of expected stock returns, J. Finan. Econ., 41, 401, 10.1016/0304-405X(95)00868-F He, 2010, Global economic activity and crude oil prices, Energy Econ., 32, 868, 10.1016/j.eneco.2009.12.005 Hou, 2006, Industry concentration and average stock returns, J. Finance, 61, 1927, 10.1111/j.1540-6261.2006.00893.x Huang, 1996, Energy, shocks and financial market, J. Futur. Mark., 16, 1, 10.1002/(SICI)1096-9934(199602)16:1<1::AID-FUT1>3.0.CO;2-Q Huang, 2005, The asymmetry of the impact of oil price shocks on economic activities: An application of the multivariate threshold model, Energy Econ., 27, 455, 10.1016/j.eneco.2005.03.001 Jegadeesh, 1999, Profitability of momentum strategies: an evaluation of alternative explanations, J. Finance, 56, 699, 10.1111/0022-1082.00342 Jin, 2006, Firm value and hedging: evidence from U.S. oil and gas producers, J. Finance, 61, 893, 10.1111/j.1540-6261.2006.00858.x Jones, 1996, Oil and the stock markets, J. Finance, 51, 463, 10.1111/j.1540-6261.1996.tb02691.x Jones, 2004, Oil price shocks and the macro-economy: what has been learned since 1996, Energy J., 25, 1, 10.5547/ISSN0195-6574-EJ-Vol25-No2-1 Kilian, 2008, Exogenous oil supply shocks: how big are they and how much do they matter for the U.S. economy?, Rev. Econ. Stat., 90, 216, 10.1162/rest.90.2.216 Kilian, 2009, The impact of oil price shocks on the U.S. stock market, Int. Econ. Rev., 50, 1267, 10.1111/j.1468-2354.2009.00568.x Lang, 1992, Contagion and competitive intra-industry effects of bankruptcy announcements, J. Finan. Econ., 32, 45, 10.1016/0304-405X(92)90024-R Larsson, 2011, Jumps and stochastic volatility in oil prices, Energy Econ., 33, 504, 10.1016/j.eneco.2010.12.016 Lee, 2002, On the dynamic effects of oil price shocks: a study using industry level data, J. Monet. Econ., 49, 823, 10.1016/S0304-3932(02)00114-9 Lee, 1995, Oil shocks and the macro-economy: the role of price volatility, Energy J., 16, 39, 10.5547/ISSN0195-6574-EJ-Vol16-No4-2 Lilien, 1982, Sectoral shifts and cyclical unemployment, J. Polit. Econ., 90, 777, 10.1086/261088 Mikkelson, 1988, Withdrawn security offerings, J. Finan. Quant. Anal., 23, 100, 10.2307/2330876 Mohanty, 2011, Oil risk exposure: the case of the U.S. oil and gas sector, Finan. Rev., 46, 165, 10.1111/j.1540-6288.2010.00295.x Mork, 1989, Oil and the macro-economy when prices go up and down: an extension of Hamilton's results, J. Polit. Econ., 97, 740, 10.1086/261625 Mork, 1994, Business cycles and the oil market, Energy J., 15 Myers, 1977, Determinants of corporate borrowing, J. Finan. Econ., 5, 147, 10.1016/0304-405X(77)90015-0 Nandha, 2009, Oil prices and transport sector returns: an international analysis', Rev. Quant. Finance Acc., 33, 393, 10.1007/s11156-009-0120-4 Nandha, 2008, Does oil move equity prices? A global view, Energy Econ., 30, 986, 10.1016/j.eneco.2007.09.003 Noel, 2009, Do retail gasoline prices respond asymmetrically to cost shocks? The influence of Edgeworth Cycles, RAND J. Econ., 40, 582, 10.1111/j.1756-2171.2009.00078.x Peltzman, 2000, Prices rise faster than they fall, J. Polit. Econ., 108, 466, 10.1086/262126 Pindyck, 1991, The present value model of rational commodity pricing, 3354–91 Sadorsky, 1999, Oil price shocks and stock market activity, Energy Econ., 21, 449, 10.1016/S0140-9883(99)00020-1 Sadorsky, 2001, Risk factors in stock returns of Canadian oil and gas companies, Energy Econ., 23, 17, 10.1016/S0140-9883(00)00072-4 Smith, 1992, The investment opportunity set and corporate financing, dividend, and compensation policies, J. Finan. Econ., 32, 263, 10.1016/0304-405X(92)90029-W Tufano, 1998, The determinants of stock price exposure: financial engineering and the gold mining industry, J. Finance, 53, 1015, 10.1111/0022-1082.00042 Wall Street Journal, Blue Chips Hit a Record as Manufacturing Surprises, C1. May 2. 2007. Yakov, 2003, Political news and stock prices: the case of Saddam Hussein contracts, June