Oil price shocks, investor sentiment, and asset pricing anomalies in the oil and gas industry

doi:10.1016/j.irfa.2020.101516

CASISD OpenIR

	Oil price shocks, investor sentiment, and asset pricing anomalies in the oil and gas industry
	Zhu, Zhaobo; Ji, Qiang; Sun, Licheng; Zhai, Pengxiang
发表期刊	INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS
摘要	This paper documents that stocks are not efficiently priced in the oil and gas industry. We find significant cross- sectional effects on stock returns from various firm characteristics in the oil and gas industry. Specifically, 13 out of 15 prominent capital market anomalies are robust in the oil and gas industry. Investor sentiment has sig- nificantly positive impact on 4 anomalies: composite equity issues, investment to assets, net stock issues, and value effect. Among the three oil shocks, we find that aggregate demand shocks have significantly impact on 6 anomalies: composite equity issues, financial distress, net stock issues, O -SCORE, return on assets, and idio- syncratic volatility. Our results are consistent with the view that high arbitrage costs and risks have significant deterring effects on arbitrage in the oil and gas industry. Our findings also have practical investment and policy implications for investors, firm managers, and policy makers alike.
	2020
卷号	70
DOI	10.1016/j.irfa.2020.101516
语种	英语
引用统计
文献类型	期刊论文
条目标识符	http://ir.casisd.cn/handle/190111/9787
专题	中国科学院科技战略咨询研究院
推荐引用方式 GB/T 7714	Zhu, Zhaobo,Ji, Qiang,Sun, Licheng,et al. Oil price shocks, investor sentiment, and asset pricing anomalies in the oil and gas industry[J]. INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS,2020,70.
APA	Zhu, Zhaobo,Ji, Qiang,Sun, Licheng,&Zhai, Pengxiang.(2020).Oil price shocks, investor sentiment, and asset pricing anomalies in the oil and gas industry.INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS,70.
MLA	Zhu, Zhaobo,et al."Oil price shocks, investor sentiment, and asset pricing anomalies in the oil and gas industry".INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS 70(2020).