Can stale oil price news predict stock returns?
Author
Abstract
Suggested Citation
DOI: 10.1016/j.eneco.2019.07.022
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Kilian, Lutz & Lee, Thomas K., 2014.
"Quantifying the speculative component in the real price of oil: The role of global oil inventories,"
Journal of International Money and Finance, Elsevier, vol. 42(C), pages 71-87.
- Kilian, Lutz & Lee, Thomas K, 2013. "Quantifying the Speculative Component in the Real Price of Oil: The Role of Global Oil Inventories," CEPR Discussion Papers 9297, C.E.P.R. Discussion Papers.
- John Y. Campbell & Christopher Polk & Tuomo Vuolteenaho, 2010.
"Growth or Glamour? Fundamentals and Systematic Risk in Stock Returns,"
The Review of Financial Studies, Society for Financial Studies, vol. 23(1), pages 305-344, January.
- John Campbell & Christopher Polk & Tuomo Vuolteenaho, 2005. "Growth or glamour? fundamentals and systemic risk in stock returns," Proceedings, Board of Governors of the Federal Reserve System (U.S.).
- John Y. Campbell & Christopher Polk & Tuomo Vuolteenaho, 2005. "Growth or Glamour? Fundamentals and Systematic Risk in Stock Returns," NBER Working Papers 11389, National Bureau of Economic Research, Inc.
- Polk, Christopher & Vuolteenaho, Tuomo & Campbell, John Y., 2010. "Growth or Glamour? Fundamentals and Systematic Risk in Stock Returns," Scholarly Articles 9887622, Harvard University Department of Economics.
- John Y. Campbell & Christopher Polk & Tuomo Vuolteenaho, 2005. "Growth or Glamour? Fundamentals and Systematic Risk in Stock Returns," Harvard Institute of Economic Research Working Papers 2082, Harvard - Institute of Economic Research.
- Fama, Eugene F, 1981. "Stock Returns, Real Activity, Inflation, and Money," American Economic Review, American Economic Association, vol. 71(4), pages 545-565, September.
- Kang, Wensheng & Ratti, Ronald A. & Yoon, Kyung Hwan, 2015.
"Time-varying effect of oil market shocks on the stock market,"
Journal of Banking & Finance, Elsevier, vol. 61(S2), pages 150-163.
- Wensheng Kang & Ronald A. Ratti & Kyung Hwan Yoon, 2015. "Time-varying effect of oil market shocks on the stock market," CAMA Working Papers 2015-35, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- John Y. Campbell, Robert J. Shiller, 1988.
"The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors,"
The Review of Financial Studies, Society for Financial Studies, vol. 1(3), pages 195-228.
- Robert J. Shiller & John Y. Campbell, 1986. "The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors," Cowles Foundation Discussion Papers 812, Cowles Foundation for Research in Economics, Yale University.
- John Y. Campbell & Robert J. Shiller, 1986. "The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors," NBER Working Papers 2100, National Bureau of Economic Research, Inc.
- Paul C. Tetlock, 2011. "All the News That's Fit to Reprint: Do Investors React to Stale Information?," The Review of Financial Studies, Society for Financial Studies, vol. 24(5), pages 1481-1512.
- Lutz Kilian, 2017.
"The Impact of the Fracking Boom on Arab Oil Producers,"
The Energy Journal, , vol. 38(6), pages 137-160, November.
- Lutz Kilian, 2017. "The Impact of the Fracking Boom on Arab Oil Producers," The Energy Journal, International Association for Energy Economics, vol. 0(Number 6).
- Kilian, Lutz, 2016. "The Impact of the Fracking Boom on Arab Oil Producers," CEPR Discussion Papers 11107, C.E.P.R. Discussion Papers.
- Lutz Kilian, 2016. "The Impact of the Fracking Boom on Arab Oil Producers," CESifo Working Paper Series 5751, CESifo.
- Lutz Kilian, 2017. "The Impact of the Fracking Boom on Arab Oil Producers," Working Papers 1110, Economic Research Forum, revised 06 2017.
- Clark, Todd E. & West, Kenneth D., 2007.
"Approximately normal tests for equal predictive accuracy in nested models,"
Journal of Econometrics, Elsevier, vol. 138(1), pages 291-311, May.
- Todd E. Clark & Kenneth D. West, 2005. "Approximately normal tests for equal predictive accuracy in nested models," Research Working Paper RWP 05-05, Federal Reserve Bank of Kansas City.
- Kenneth D. West & Todd Clark, 2006. "Approximately Normal Tests for Equal Predictive Accuracy in Nested Models," NBER Technical Working Papers 0326, National Bureau of Economic Research, Inc.
- repec:idn:journl:v:21:y:2018:i:2:p:1-18 is not listed on IDEAS
- Fama, Eugene F. & French, Kenneth R., 2012. "Size, value, and momentum in international stock returns," Journal of Financial Economics, Elsevier, vol. 105(3), pages 457-472.
- John H. Cochrane, 2008.
"The Dog That Did Not Bark: A Defense of Return Predictability,"
The Review of Financial Studies, Society for Financial Studies, vol. 21(4), pages 1533-1575, July.
- John H. Cochrane, 2006. "The Dog That Did Not Bark: A Defense of Return Predictability," NBER Working Papers 12026, National Bureau of Economic Research, Inc.
- Narayan, Paresh Kumar & Sharma, Susan Sunila, 2011. "New evidence on oil price and firm returns," Journal of Banking & Finance, Elsevier, vol. 35(12), pages 3253-3262.
- Jushan Bai & Pierre Perron, 1998.
"Estimating and Testing Linear Models with Multiple Structural Changes,"
Econometrica, Econometric Society, vol. 66(1), pages 47-78, January.
- Perron, P. & Bai, J., 1995. "Estimating and Testing Linear Models with Multiple Structural Changes," Cahiers de recherche 9552, Universite de Montreal, Departement de sciences economiques.
- Perron, P. & Bai, J., 1995. "Estimating and Testing Linear Models with Multiple Structural Changes," Cahiers de recherche 9552, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- Paul C. Tetlock & Maytal Saar‐Tsechansky & Sofus Macskassy, 2008. "More Than Words: Quantifying Language to Measure Firms' Fundamentals," Journal of Finance, American Finance Association, vol. 63(3), pages 1437-1467, June.
- Devpura, Neluka & Narayan, Paresh Kumar & Sharma, Susan Sunila, 2018. "Is stock return predictability time-varying?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 52(C), pages 152-172.
- Narayan, Paresh Kumar & Bannigidadmath, Deepa, 2015.
"Are Indian stock returns predictable?,"
Journal of Banking & Finance, Elsevier, vol. 58(C), pages 506-531.
- Bannigidadmath, Deepa & Narayan, Paresh Kumar, 2015. "Are Indian stock returns predictable?," Working Papers fe_2015_07, Deakin University, Department of Economics.
- David E. Rapach & Jack K. Strauss & Guofu Zhou, 2013. "International Stock Return Predictability: What Is the Role of the United States?," Journal of Finance, American Finance Association, vol. 68(4), pages 1633-1662, August.
- Peter Hecht & Tuomo Vuolteenaho, 2006. "Explaining Returns with Cash-Flow Proxies," The Review of Financial Studies, Society for Financial Studies, vol. 19(1), pages 159-194.
- Sim, Nicholas & Zhou, Hongtao, 2015. "Oil prices, US stock return, and the dependence between their quantiles," Journal of Banking & Finance, Elsevier, vol. 55(C), pages 1-8.
- Hsu, Po-Hsuan, 2009. "Technological innovations and aggregate risk premiums," Journal of Financial Economics, Elsevier, vol. 94(2), pages 264-279, November.
- David E. Rapach & Jack K. Strauss & Guofu Zhou, 2010. "Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy," The Review of Financial Studies, Society for Financial Studies, vol. 23(2), pages 821-862, February.
- Narayan, Paresh Kumar & Narayan, Seema & Thuraisamy, Kannan Sivananthan, 2014. "Can institutions and macroeconomic factors predict stock returns in emerging markets?," Emerging Markets Review, Elsevier, vol. 19(C), pages 77-95.
- Casey Dougal & Joseph Engelberg & Diego García & Christopher A. Parsons, 2012. "Journalists and the Stock Market," The Review of Financial Studies, Society for Financial Studies, vol. 25(3), pages 639-679.
- Umit G. Gurun & Alexander W. Butler, 2012. "Don't Believe the Hype: Local Media Slant, Local Advertising, and Firm Value," Journal of Finance, American Finance Association, vol. 67(2), pages 561-598, April.
- Dickey, David A & Fuller, Wayne A, 1981. "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root," Econometrica, Econometric Society, vol. 49(4), pages 1057-1072, June.
- John H. Cochrane, 2011. "Presidential Address: Discount Rates," Journal of Finance, American Finance Association, vol. 66(4), pages 1047-1108, August.
- Diego García, 2013. "Sentiment during Recessions," Journal of Finance, American Finance Association, vol. 68(3), pages 1267-1300, June.
- Chava, Sudheer & Gallmeyer, Michael & Park, Heungju, 2015. "Credit conditions and stock return predictability," Journal of Monetary Economics, Elsevier, vol. 74(C), pages 117-132.
- repec:idn:journl:v:22:y:2019:i:1e:p:1-16 is not listed on IDEAS
- Narayan, Paresh Kumar & Sharma, Susan Sunila & Thuraisamy, Kannan S., 2015.
"Can governance quality predict stock market returns? New global evidence,"
Pacific-Basin Finance Journal, Elsevier, vol. 35(PA), pages 367-380.
- Narayan, Paresh Kumar & Sharma, Susan Sunila & Thuraisamy, Kannan, 2015. "Can governance quality predict stock market returns? New global evidence," Working Papers fe_2015_04, Deakin University, Department of Economics.
- Driesprong, Gerben & Jacobsen, Ben & Maat, Benjamin, 2008. "Striking oil: Another puzzle?," Journal of Financial Economics, Elsevier, vol. 89(2), pages 307-327, August.
- Fama, Eugene F. & French, Kenneth R., 1989. "Business conditions and expected returns on stocks and bonds," Journal of Financial Economics, Elsevier, vol. 25(1), pages 23-49, November.
- Fama, Eugene F. & French, Kenneth R., 1993. "Common risk factors in the returns on stocks and bonds," Journal of Financial Economics, Elsevier, vol. 33(1), pages 3-56, February.
- Paul C. Tetlock, 2007. "Giving Content to Investor Sentiment: The Role of Media in the Stock Market," Journal of Finance, American Finance Association, vol. 62(3), pages 1139-1168, June.
- Kothari, S. P. & Shanken, Jay, 1992. "Stock return variation and expected dividends : A time-series and cross-sectional analysis," Journal of Financial Economics, Elsevier, vol. 31(2), pages 177-210, April.
- repec:idn:journl:v:1:y:2019:i:sp1:p:1-26 is not listed on IDEAS
- Tim Loughran & Bill Mcdonald, 2011. "When Is a Liability Not a Liability? Textual Analysis, Dictionaries, and 10‐Ks," Journal of Finance, American Finance Association, vol. 66(1), pages 35-65, February.
- Gur Huberman & Tomer Regev, 2001. "Contagious Speculation and a Cure for Cancer: A Nonevent that Made Stock Prices Soar," Journal of Finance, American Finance Association, vol. 56(1), pages 387-396, February.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Narayan, Paresh Kumar & Narayan, Seema & Phan, Dinh Hoang Bach, 2022. "Terrorism and international stock returns," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 76(C).
- Phan, Dinh Hoang Bach & Sharma, Susan Sunila & Tran, Vuong Thao, 2018. "Can economic policy uncertainty predict stock returns? Global evidence," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 55(C), pages 134-150.
- Narayan, Paresh Kumar & Bannigidadmath, Deepa, 2017. "Does Financial News Predict Stock Returns? New Evidence from Islamic and Non-Islamic Stocks," Pacific-Basin Finance Journal, Elsevier, vol. 42(C), pages 24-45.
- Wang, Yudong & Pan, Zhiyuan & Liu, Li & Wu, Chongfeng, 2019. "Oil price increases and the predictability of equity premium," Journal of Banking & Finance, Elsevier, vol. 102(C), pages 43-58.
- Phan, Dinh Hoang Bach & Sharma, Susan Sunila & Narayan, Paresh Kumar, 2015.
"Stock return forecasting: Some new evidence,"
International Review of Financial Analysis, Elsevier, vol. 40(C), pages 38-51.
- Phan, Dinh Hoang Bach & Sharma, Susan Sunila & Narayan, Paresh Kumar, 2015. "Stock return forecasting: some new evidence," Working Papers fe_2015_13, Deakin University, Department of Economics.
- Ma, Feng & Wang, Ruoxin & Lu, Xinjie & Wahab, M.I.M., 2021. "A comprehensive look at stock return predictability by oil prices using economic constraint approaches," International Review of Financial Analysis, Elsevier, vol. 78(C).
- Narayan, Paresh Kumar & Phan, Dinh Hoang Bach & Narayan, Seema, 2018. "Technology-investing countries and stock return predictability," Emerging Markets Review, Elsevier, vol. 36(C), pages 159-179.
- Ruan, Qingsong & Wang, Zilin & Zhou, Yaping & Lv, Dayong, 2020. "A new investor sentiment indicator (ISI) based on artificial intelligence: A powerful return predictor in China," Economic Modelling, Elsevier, vol. 88(C), pages 47-58.
- Narayan, Paresh Kumar & Narayan, Seema, 2021. "Do opinion polls on government preference influence stock returns?," Journal of Behavioral and Experimental Finance, Elsevier, vol. 30(C).
- Gupta, Kartick & Banerjee, Rajabrata, 2019. "Does OPEC news sentiment influence stock returns of energy firms in the United States?," Energy Economics, Elsevier, vol. 77(C), pages 34-45.
- Rapach, David & Zhou, Guofu, 2013. "Forecasting Stock Returns," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 328-383, Elsevier.
- Narayan, Paresh Kumar & Bannigidadmath, Deepa & Narayan, Seema, 2021. "How much does economic news influence bilateral exchange rates?," Journal of International Money and Finance, Elsevier, vol. 115(C).
- Sharma, Susan Sunila & Narayan, Paresh Kumar, 2022. "Technology shocks and stock returns: A long-term perspective," Journal of Empirical Finance, Elsevier, vol. 68(C), pages 67-83.
- Narayan, Paresh Kumar & Bannigidadmath, Deepa, 2021. "Financial news and CDS spreads," Journal of Behavioral and Experimental Finance, Elsevier, vol. 29(C).
- Chiah, Mardy & Phan, Dinh Hoang Bach & Tran, Vuong Thao & Zhong, Angel, 2022. "Energy price uncertainty and the value premium," International Review of Financial Analysis, Elsevier, vol. 81(C).
- Ahmad, Khurshid & Han, JingGuang & Hutson, Elaine & Kearney, Colm & Liu, Sha, 2016.
"Media-expressed negative tone and firm-level stock returns,"
Journal of Corporate Finance, Elsevier, vol. 37(C), pages 152-172.
- Khurshid Ahmad & JingGuang Han & Elaine Hutson & Colm Kearney & Sha Liu, 2016. "Media-expressed negative tone and firm-level stock returns," Open Access publications 10197/8208, Research Repository, University College Dublin.
- Maio, Paulo & Philip, Dennis, 2015. "Macro variables and the components of stock returns," Journal of Empirical Finance, Elsevier, vol. 33(C), pages 287-308.
- , & Stein, Tobias, 2021.
"Equity premium predictability over the business cycle,"
CEPR Discussion Papers
16357, C.E.P.R. Discussion Papers.
- Mönch, Emanuel & Stein, Tobias, 2021. "Equity premium predictability over the business cycle," Discussion Papers 25/2021, Deutsche Bundesbank.
- Jiang, Fuwei & Lee, Joshua & Martin, Xiumin & Zhou, Guofu, 2019.
"Manager sentiment and stock returns,"
Journal of Financial Economics, Elsevier, vol. 132(1), pages 126-149.
- Fuwei Jiang & Joshua Lee & Xiumin Martin & Guofu Zhou, 2019. "Manager sentiment and stock returns," CEMA Working Papers 677, China Economics and Management Academy, Central University of Finance and Economics.
- Angelos J. Doukas & Jie (Michael) Guo & Herbert Y. T. Lam & Sarah (Hong) Xiao, 2016. "Media Endorsements of New Product Announcements: A New Marketing Strategy," European Financial Management, European Financial Management Association, vol. 22(3), pages 394-426, June.
More about this item
Keywords
Oil price news; Stock returns; Predictive regression; Time-series;All these keywords.
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:eneeco:v:83:y:2019:i:c:p:430-444. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/eneco .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.