Are Oil Price News Headlines Statistically and Economically Significant for Investors?. Issue 3 (3rd July 2017)

• Record Type: Journal Article
• Authors: Narayan, Seema; Narayan, Paresh Kumar
• Is Part Of: Journal of behavioral finance. Volume 18:Issue 3(2017)
• Page Start: 258
• Page End: 270
• Publication Date: 2017-07-03
• Subjects: Oil price news -- Stock returns -- Risk factors -- Market -- Sectors; Capital market -- Psychological aspects -- Periodicals; Finance -- Psychological aspects -- Periodicals; 332.019
• DOI: 10.1080/15427560.2017.1308942
• Languages: English
• ISSNs: 1542-7560

Abstract

ABSTRACT: While much has been written about the effects of oil price on stock returns, surprisingly nothing is known about the effect of oil price news on stock returns. This article is a response to this research gap. For a large number of stocks on the New York Stock Exchange, the authors find that while oil price news does predict market returns it only predicts returns of some sectors and not all. They find that sorting stocks based on oil price news generates a significant return differential in the cross-section, which holds consistently across a range of models allowing for the well-known risk factors. Their findings suggest that information contained in oil price news affects stock returns.