What drives the commodity price beta of oil industry stocks?

Talbot, Edward, Artiach, Tracy and Faff, Robert (2013) What drives the commodity price beta of oil industry stocks?. Energy Economics, 37 1-15. doi:10.1016/j.eneco.2013.01.004

Author Talbot, Edward
Artiach, Tracy
Faff, Robert
Title What drives the commodity price beta of oil industry stocks?
Journal name Energy Economics   Check publisher's open access policy
ISSN 0140-9883
Publication date 2013-05
Year available 2013
Sub-type Article (original research)
DOI 10.1016/j.eneco.2013.01.004
Volume 37
Start page 1
End page 15
Total pages 15
Place of publication Amsterdam, The Netherlands
Publisher Elsevier
Collection year 2014
Language eng
Formatted 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
Keyword Commodity beta
Oil price
Oil industry
Gold Mining Industry
Gas Producers
Canadian Oil
Q-Index Code C1
Q-Index Status Confirmed Code
Institutional Status UQ

Document type: Journal Article
Sub-type: Article (original research)
Collections: Official 2014 Collection
UQ Business School Publications
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Citation counts: TR Web of Science Citation Count  Cited 2 times in Thomson Reuters Web of Science Article | Citations
Scopus Citation Count Cited 2 times in Scopus Article | Citations
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Created: Sun, 26 May 2013, 01:26:50 EST by System User on behalf of UQ Business School