Année
2011
Abstract
The recent boom in oil prices has attracted many investors to oil companies in search of both returns and
diversification benefits. This analysis of the risk factors of investing in the oil and gas industry in 34 countries finds
evidence that oil price is a globally priced factor for the oil industry. The oil and gas sector in developed countries
responds more strongly to oil price changes than in emergingmarkets. Oil and gas industry returns also respond
asymmetrically to changes in oil prices; oil price rises have a greater impact than oil price drops. There is no
parallel to the asymmetry of oil price changes in other industries related to commodities. If there is any
asymmetry, it is in the opposite direction fromoil. Negative commodity price changes have a greater impact than
positive ones. The results seemto indicate that the oil and gas industry is distinguished by a pass-through effect.
RAMOS, S. et VEIGA, H. (2011). Risk Factors in Oil and Gas Industry Returns: International Evidence. Energy Economics, 33(3), pp. 525-542.
Mots clés