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United States oil and gas stock returns with multi-factor pricing models: 2008-2018

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  • Carson, Scott Alan

Abstract

International oil demand is met by large government-owned producers, with remaining production divided between publicly traded Majors and Independents. This study compares publicly traded oil producer equity returns traded on the NYSE for the Majors and Independent US oil producers. Individual producer returns were related to equity and oil returns. Equity market risk is lower for large Majors and higher for smaller Independent rivals. Oil producers' risk premiums associated with oil are smaller for large Majors and larger for smaller Independents. Natural gas returns generally do not affect producer returns. Major returns are inversely while smaller Independent returns are positively related to the size effect. Major oil producer returns are positively related to the value effect and negatively related to momentum.

Suggested Citation

  • Carson, Scott Alan, 2020. "United States oil and gas stock returns with multi-factor pricing models: 2008-2018," Munich Reprints in Economics 84754, University of Munich, Department of Economics.
    • Handle: RePEc:lmu:muenar:84754
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    Cited by:

    1. Scott Alan Carson, 2022. "Long-Term Daily Equity Returns Across Sectors of the Oil and Gas Industry, 2000–2019," Journal of Industry, Competition and Trade, Springer, vol. 22(1), pages 125-143, March.
    2. Scott Alan Carson & Scott A. Carson, 2023. "Equity, Commodity, and Distillate Risk for Oil Upstream Producers and Downstream Consumers," CESifo Working Paper Series 10426, CESifo.
    3. Scott Alan Carson & Wael M. Al-Sawai & Scott A. Carson, 2023. "Partially Adaptive Econometric Methods and Vertically Integrated Majors in the Oil and Gas Industry," CESifo Working Paper Series 10733, CESifo.
    4. Scott Alan Carson & Scott A. Carson, 2022. "Diesel, Conventional Gas, Jet Fuel, and Natural Gas Equity and Commodity Project Risk across the Oil and Gas Industry," CESifo Working Paper Series 10125, CESifo.
    5. Mohammad Enamul Hoque & Soo-Wah Low & Mohd Azlan Shah Zaidi & Lain-Tze Tee & Noor Azlan Ghazali, 2023. "Asymmetric and Lag Effects of Industry Risk Factors on the Malaysian Oil and Gas Stocks," SAGE Open, , vol. 13(3), pages 21582440231, July.

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