Are oil price news headlines statistically and economically significant for investors?

Narayan, S and Narayana, P 2017, 'Are oil price news headlines statistically and economically significant for investors?', Journal of Behavioral Finance, vol. 18, no. 3, pp. 258-270.


Document type: Journal Article
Collection: Journal Articles

Title Are oil price news headlines statistically and economically significant for investors?
Author(s) Narayan, S
Narayana, P
Year 2017
Journal name Journal of Behavioral Finance
Volume number 18
Issue number 3
Start page 258
End page 270
Total pages 13
Publisher Routledge
Abstract While much has been written about the effects of oil price on stock returns, surprisingly nothing is known about the effect of oil price news on stock returns. This article is a response to this research gap. For a large number of stocks on the New York Stock Exchange, the authors find that while oil price news does predict market returns it only predicts returns of some sectors and not all. They find that sorting stocks based on oil price news generates a significant return differential in the cross-section, which holds consistently across a range of models allowing for the well-known risk factors. Their findings suggest that information contained in oil price news affects stock returns.
Subject Financial Economics
Keyword(s) Market
Oil price news
Risk factors
Sectors
Stock returns
DOI - identifier 10.1080/15427560.2017.1308942
Copyright notice © 2017 The Institute of Behavioral Finance
ISSN 1542-7560
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