“This paper investigates whether changes in oil prices predict stock returns.Stock returns tend to be lower after oil price increases and higher if the oil price falls in the previous month. We find no evidence that our results can be explained by time varying risk premia. Even though oil price shocks increase risk, investors seem to under-react to information in the price of oil.
Our findings are consistent with the hypothesis of a delayed reaction by investors to oil price changes. In line with this hypothesis the relation between monthly stock returns and lagged monthly oil price changes becomes substantially stronger once we introduce lags of several trading days between monthly stock returns and lagged monthly oil price changes.”
“Striking Oil: Another Puzzle?” , Gerben Driesprong , Ben Jacobsen, Benjamin Maat. Journal of Financial Economics ,Volume 89, Issue 2, August 2008, Pages 307–327
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