A0865
Title: Are oil price shocks priced in the cross-section of stock returns?
Authors: Thao Nguyen - KBC Asset Management (Belgium) [presenting]
Leonardo Iania - UCLouvain (Belgium)
Kristien Smedts - KU Leuven (Belgium)
Liana Nersisyan - UCLouvain (Belgium)
Abstract: The purpose is to investigate the risk premia associated with oil-related shocks in the stock market. The shock components from a broad set of measures are extracted, including structural oil supply, demand, and inventory, market-based oil price expectations, news-based uncertainty indexes, and oil forecast disagreement. A negative risk premium associated with oil price shocks is documented: Stocks more sensitive to these shocks tend to earn lower expected returns. Furthermore, it is found that the greenest stocks are largely unaffected by oil price shocks, while browner stocks exhibit a negative relationship between oil shock exposure and expected performance.
