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Future Stock Performance of Oil and Gas Firms Conditional on the Imputed Value of Reserves

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  • Henning, Steven L
  • Shaw, Wayne H

Abstract

Harris and Ohlson (1990) provide evidence suggesting market inefficiencies in the pricing of oil and gas firms in the 1979-84 period. This paper examines three possible explanations for their results. First, are differences in oil and gas market values (IVR) explained by risk differences. Second, is the trading rule sensitive to changes in oil and gas prices? Third, can the results be replicated in a later period? We provide evidence in support of the risk-based explanation by demonstrating that approximately 75 percent of the trading rule return can be explained by adjusting for a stock's covariance with market and energy price movements. In addition, we demonstrate some time specific element to the results since the trading rule performs poorly in a subsequent time period. Copyright 2000 by Kluwer Academic Publishers

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  • Henning, Steven L & Shaw, Wayne H, 2000. "Future Stock Performance of Oil and Gas Firms Conditional on the Imputed Value of Reserves," Review of Quantitative Finance and Accounting, Springer, vol. 15(2), pages 127-135, September.
    • Handle: RePEc:kap:rqfnac:v:15:y:2000:i:2:p:127-35
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    Cited by:

    1. A. Malliaris & Mary Malliaris, 2013. "Are oil, gold and the euro inter-related? Time series and neural network analysis," Review of Quantitative Finance and Accounting, Springer, vol. 40(1), pages 1-14, January.
    2. Ding Du & Xiaobing Zhao, 2017. "Financial investor sentiment and the boom/bust in oil prices during 2003–2008," Review of Quantitative Finance and Accounting, Springer, vol. 48(2), pages 331-361, February.

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