Modelling oil and gas stock returns using multi factor asset pricing model including oil price exposure

Sanusi, Muhammad Surajo; Ahmad, Farooq

doi:10.1016/j.frl.2016.04.005

Cited by 50 publications

(62 citation statements)

References 29 publications

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“…The risk factors in the Fama-French-Carhart model were found to be strongly relevant to the determination of oil and gas stock returns (see also Sanusi & Ahmad, 2016). However, the level of their significance or relevance among the companies varies, despite the fact that the companies are in the same class of business risk.…”

Section: Resultsmentioning

confidence: 98%

Investigating the sources of Black’s leverage effect in oil and gas stocks

Sanusi

2017

Cogent Economics & Finance

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The Black's leverage effect hypothesis postulates that a negative stock return innovation increases the financial leverage of a firm since the value of equity decreases at a given level of debt, which, in turn, creates a higher equity return volatility in the future. The paper is aimed at investigating the authenticity of the Black's leverage effect hypothesis and the relationship between negative stock returns and the financial leverage of the UK oil and gas stocks from 2004 to 2015. For each stock, exponential generalised autoregressive conditional heteroscedasticity model was estimated using Fama-French-Carhart 4-factor asset pricing model to extract the difference between the effects of negative and positive stock return innovations, regarded as leverage effect. The leverage effect parameter was further regressed on the financial leverage ratios of the book value of long-term debt to total assets, interest expenses to total assets and long-term debt to market value of equity to examine whether variation in the leverage parameter was as a result of variation in the firm's financial leverage. The findings of the study show that Fama-FrenchCarhart four risk factors of market, size effect, value and momentum were significant in the stock returns of most of the oil and gas companies. The mixed results in the significance level of the factors were attributed to the differences in individual firm characteristics. An evidence of leverage effect was also found in all the oil and gas stock returns but no evidence to suggest it was derived from the changes in the

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Section: Resultsmentioning

confidence: 98%

Investigating the sources of Black’s leverage effect in oil and gas stocks

Sanusi

2017

Cogent Economics & Finance

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“…Эмпирические подходы показывают противоречивые выводы, например, что рост цен на нефть оказывает большее влияние, чем снижение (Sanusi et. al., 2016), или что никакого влияния нет .…”

Section: обзор исследований по влиянию факторов на капитализацию нефтunclassified

The Speculative Nature of Public Companies Capitalization Factors

Busygin¹

2020

ZhET

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К настоящему времени разработано много концепций, в рамках которых исследователи пытаются рассмотреть процесс принятия инвесторами решений в условиях неопределенности. Тем не менее, стоит отметить, что работы в данном направлении базируются на одном простом условии, которое характеризует поведенческие финансы как направление,-отсутствие в решениях, принимаемых инвесторами, рационального начала, которое в дальнейшем объясняется с точки зрения психологических особенностей индивидов, присутствия ошибок при анализе информации и др. В данной работе сделана попытка обозначить мост между теорией эффективных рынков и поведенческими финансами. При этом следует учитывать прежде всего то, что инвесторы при принятии решений опираются в первую очередь на информацию, которая прямым или косвенным образом отражается на стоимости активов, в рамках данного исследования-капитализации компаний. Другими словами, акцент сдвигается с персонификации инвесторов как субъектов на восприятие ими тех или иных событий, которые они могут интерпретировать как рационально, так и нерационально. В рамках исследования предполагается, что рациональность инвестора, которая по умолчанию задается в рамках теории эффективных рынков, или нерациональность, которая является корнем концепций поведенческих финансов, относятся не к инвестору как к субъекту, а к анализу входящих информационных потоков. Инвестор может рационально оценивать одни факторы, при этом нерационально анализировать влияние других факторов.

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“…Other recent studies examining oil market shocks with connection to financial markets are Broadstock et al (2016), Ftiti et al (2016), Sanusi and Ahmad (2016) and Öztek and Öcal (2017). Broadstock et al (2016) point out that oil shocks affect the financial sector as inflation rises increasing the costs for businesses, which puts significant pressure on many firms and industries.…”

Section: Oil Volatility and Forecastingmentioning

confidence: 99%

The Lead–Lag Relationship between Oil Futures and Spot Prices—A Literature Review

Zavadska

Morales

Coughlan

2018

IJFS

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Crude oil is the dominant energy resource worldwide. The focus of this paper is on its historical behaviour and subsequent implications for the global economy with an emphasis on the lead–lag relationship between spot and future prices. The paper examines the behaviour of oil spot and future prices and their determinants during periods of market uncertainty, particularly in the context of economic and financial crises. The analysis highlights a key controversy within the extant literature, as to whether spot or futures prices are the main crude oil price indicator. The literature review indicates that the lead–lag relationship is a dynamic one, especially during periods of sustained uncertainty, which leads to significant disagreements and incongruities among researchers regarding the price that plays a dominant role.

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Modelling oil and gas stock returns using multi factor asset pricing model including oil price exposure

Cited by 50 publications

References 29 publications

Investigating the sources of Black’s leverage effect in oil and gas stocks

Investigating the sources of Black’s leverage effect in oil and gas stocks

The Speculative Nature of Public Companies Capitalization Factors

The Lead–Lag Relationship between Oil Futures and Spot Prices—A Literature Review

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