What drives the commodity price beta of oil industry stocks

Talbot, Edward, Artiach, Tracy, & Faff, Robert (2013) What drives the commodity price beta of oil industry stocks. Energy Economics, 37, pp. 1-15.

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Abstract

We test theoretical drivers of the oil price beta of oil industry stocks. The strongest statistical and economic support comes for market conditions-type variables as the prime drivers: namely, oil price (+), bond rate (+), volatility of oil returns (−) and cost of carry (+). Though statistically significant, exogenous firm characteristics and oil firms' financing decisions have less compelling economic significance. There is weaker support for the prediction that financial risk management reduces the exposure of oil stocks to crude oil price variation. Finally, extended modelling shows that mean reversion in oil prices also helps explain cross-sectional variation in the oil beta.

Impact and interest:

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2 citations in Web of Science®

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ID Code: 59731
Item Type: Journal Article
Refereed: Yes
Keywords: Commodity beta, Oil price, Oil industry, oil firms' financing decisions
DOI: 10.1016/j.eneco.2013.01.004
ISSN: 1873-6181
Subjects: Australian and New Zealand Standard Research Classification > ENGINEERING (090000) > ELECTRICAL AND ELECTRONIC ENGINEERING (090600)
Australian and New Zealand Standard Research Classification > ENGINEERING (090000) > MECHANICAL ENGINEERING (091300)
Australian and New Zealand Standard Research Classification > ECONOMICS (140000) > APPLIED ECONOMICS (140200)
Divisions: Current > QUT Faculties and Divisions > QUT Business School
Current > Schools > School of Accountancy
Deposited On: 07 May 2013 22:11
Last Modified: 18 Jul 2015 11:58

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