Modelling oil and gas stock returns using multi factor asset pricing model including oil price exposure.
Sanusi, Muhammad Surajo
MetadataShow full item record
SANUSI, M.S. and AHMAD, F., 2016. Modelling oil and gas stock returns using multi factor asset pricing model including oil price exposure. Finance Research Letters [online], 18, pages 89-99. Available from: https://dx.doi.org/10.1016/j.frl.2016.04.005
Oil and gas is one of the most important sectors in every economy and the valuation of oil and gas companies becomes quite challenging due to the volatility of crude oil price. The paper investigates the determinants of the UK oil and gas stock returns using multi factor asset pricing model and the existence of asymmetric effects in the Brent crude oil price. Our results show that market risk, oil price risk, size and book-to-market related factors are all relevant in the determination of asset returns of the oil and gas companies quoted on the London stock exchange. Oil price increases and decreases decomposed separately have more effect on the oil companies’ stock returns than the normal log changes of the price which show the presence of asymmetric effect. However, the oil price shocks in general do not seem to strongly affect stock returns in oil and gas sector possibly due to horizontal and vertical integration of bigger companies in the sector.
Permalink for this recordhttp://hdl.handle.net/10059/1451
Collections in which this item appears
Except where otherwise noted, this item's license is described as https://creativecommons.org/licenses/by-nc-nd/4.0/
Showing items related by title, author, creator and subject.
The significance of personal learning environments (PLEs) in nursing education: extending current conceptualizations. Patterson, Christopher; Stephens, Moira; Chang, Vico; Price, Ann M.; Work, Fiona; Snelgrove-Clarke, Erna; Harada, Theresa (Elsevier http://dx.doi.org/10.1016/j.nedt.2016.09.010, 2016-09-26)PATTERSON, C., STEPHENS, M. CHANG, V., PRICE, A.M., WORK, F., SNELGROVE-CLARKE, E. and HARADA, T. 2016. The significance of personal learning environments (PLEs) in nursing education: extending current conceptualizations. Nurse education today [online],48, pages 99-105. Available from: http://dx.doi.org/10.1016/j.nedt.2016.09.010Background - Personal learning environments (PLE) have been shown to be a critical part of how students negotiate and manage their own learning. Understandings of PLEs appear to be constrained by narrow definitions that ...
Audsley, Annie; Wallace, Rebecca M. M.; Price, Martin F. (Springer https://dx.doi.org/10.1007/s10995-016-2051-8, 2016-07-11)AUDSLEY, A., WALLACE, R.M.M. and PRICE, M.F. 2016. Mountain child: systematic literature review. Maternal and child health journal [online], 20(12), pages 2415-2423. Available from: https://dx.doi.org/10.1007/s10995-016-2051-8Objectives This systematic review identifies and reviews both peer-reviewed and 'grey' literature, across a range of disciplines and from diverse sources, relating to the condition of children living in mountain communities ...
Price, Jonathan (Intellect http://dx.doi.org/10.1386/jaac.7.1-2.17_1, 2015-06-01)PRICE, J., 2015. Contesting agendas of participation in the arts. Journal of Arts and Communities, 7 (1-2), pp. 17-31.Forms of participatory practice have become ever more widely employed across the arts in recent years, operating across various institutional settings and social contexts. It is misleading, however, to assume that a single ...