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| Author: | Driesprong, G. Jacobsen, B. Maat, B. |
| Title: | Striking oil: Another puzzle? |
| Journal: | Journal of Financial Economics
2008 : AUG, VOL. 89:2, p. 307-327 |
| Index terms: | international stock markets stock returns oil prices market efficiency |
| Freeterms: | predictability |
| Language: | eng |
| Abstract: | Oil price changes predict stock market returns worldwide. There is found significant predictability in both developed and emerging markets. The results cannot be explained by time-varying risk premia as oil price changes also significantly predict negative excess returns. Investors appear to underreact to information in the oil price. An oil price rise drastically lowers future stock returns etc. |
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