Essec\Faculty\Model\Contribution {#2216
  #_index: "academ_contributions"
  #_id: "1013"
  #_source: array:26 [
    "id" => "1013"
    "slug" => "do-investors-price-industry-risk-evidence-from-the-cross-section-of-the-oil-industry"
    "yearMonth" => "2017-03"
    "year" => "2017"
    "title" => "Do Investors Price Industry Risk? Evidence from the Cross-Section of the Oil Industry"
    "description" => "RAMOS, S., TAAMOUTI, A., VEIGA, H. et WANG, C.W. (2017). Do Investors Price Industry Risk? Evidence from the Cross-Section of the Oil Industry. <i>Journal of Energy Markets</i>, 10(1), pp. 79-108."
    "authors" => array:4 [
      0 => array:3 [
        "name" => "RAMOS Sofia"
        "bid" => "B00683001"
        "slug" => "ramos-sofia"
      ]
      1 => array:1 [
        "name" => "TAAMOUTI A."
      ]
      2 => array:1 [
        "name" => "VEIGA H."
      ]
      3 => array:1 [
        "name" => "WANG C.-W."
      ]
    ]
    "ouvrage" => ""
    "keywords" => array:6 [
      0 => "Anomalies"
      1 => "Asset pricing"
      2 => "Cross-sectional tests"
      3 => "Oil industry"
      4 => "Oil prices"
      5 => "Time series tests"
    ]
    "updatedAt" => "2023-01-28 01:00:12"
    "publicationUrl" => "https://core.ac.uk/download/pdf/302958119.pdf"
    "publicationInfo" => array:3 [
      "pages" => "79-108"
      "volume" => "10"
      "number" => "1"
    ]
    "type" => array:2 [
      "fr" => "Articles"
      "en" => "Journal articles"
    ]
    "support_type" => array:2 [
      "fr" => "Revue scientifique"
      "en" => "Scientific journal"
    ]
    "countries" => array:2 [
      "fr" => null
      "en" => null
    ]
    "abstract" => array:2 [
      "fr" => "Recent research identifies several industry-related patterns that standard asset pricing models cannot explain effectively. This paper investigates what explains the cross-section of returns of firms in the oil industry and, in particular, how well an oil factor performs in comparison with the common systematic factors identified in the literature. We conduct a time series analysis and demonstrate that the oil factor has substantial explanatory power over traditional factors. A cross-sectional regression shows that the size, momentum and oil factors are associated with a positive risk premium and are able to explain the cross-sectional variation in stock returns in the oil industry. Our results suggest that investors demand compensation for the exposure to oil price changes, which has implications for the computation of the cost of equity."
      "en" => "Recent research identifies several industry-related patterns that standard asset pricing models cannot explain effectively. This paper investigates what explains the cross-section of returns of firms in the oil industry and, in particular, how well an oil factor performs in comparison with the common systematic factors identified in the literature. We conduct a time series analysis and demonstrate that the oil factor has substantial explanatory power over traditional factors. A cross-sectional regression shows that the size, momentum and oil factors are associated with a positive risk premium and are able to explain the cross-sectional variation in stock returns in the oil industry. Our results suggest that investors demand compensation for the exposure to oil price changes, which has implications for the computation of the cost of equity."
    ]
    "authors_fields" => array:2 [
      "fr" => "Finance"
      "en" => "Finance"
    ]
    "indexedAt" => "2024-12-21T17:21:43.000Z"
    "docTitle" => "Do Investors Price Industry Risk? Evidence from the Cross-Section of the Oil Industry"
    "docSurtitle" => "Journal articles"
    "authorNames" => "<a href="/cv/ramos-sofia">RAMOS Sofia</a>, TAAMOUTI A., VEIGA H., WANG C.-W."
    "docDescription" => "<span class="document-property-authors">RAMOS Sofia, TAAMOUTI A., VEIGA H., WANG C.-W.</span><br><span class="document-property-authors_fields">Finance</span> | <span class="document-property-year">2017</span>"
    "keywordList" => "<a href="#">Anomalies</a>, <a href="#">Asset pricing</a>, <a href="#">Cross-sectional tests</a>, <a href="#">Oil industry</a>, <a href="#">Oil prices</a>, <a href="#">Time series tests</a>"
    "docPreview" => "<b>Do Investors Price Industry Risk? Evidence from the Cross-Section of the Oil Industry</b><br><span>2017-03 | Journal articles </span>"
    "docType" => "research"
    "publicationLink" => "<a href="https://core.ac.uk/download/pdf/302958119.pdf" target="_blank">Do Investors Price Industry Risk? Evidence from the Cross-Section of the Oil Industry</a>"
  ]
  +lang: "en"
  +"_type": "_doc"
  +"_score": 9.259194
  +"parent": null
}