Crude oil moments and PNG stock returns
| dc.contributor.author | Chatrath, Arjun, author | |
| dc.contributor.author | Miao, Hong, author | |
| dc.contributor.author | Ramchander, Sanjay, author | |
| dc.contributor.author | Energy Economics, publisher | |
| dc.date.accessioned | 2020-05-18T22:28:09Z | |
| dc.date.available | 2020-05-18T22:28:09Z | |
| dc.date.issued | 2014-04-24 | |
| dc.description | Includes bibliographical references (pages 27-29). | |
| dc.description | Published as: Journal of Futures Markets, vol. 44, no.10, pp. 980-1001, July 2014, https://doi.org/10.1016/j.eneco.2014.04.010. | |
| dc.description.abstract | We examine the risk-neutral moments of crude oil and their relationship to stock returns in the Petroleum and Natural Gas (PNG) industry. We find substantial overlaps in the association between returns and S&P 500- and crude oil higher moments. Net of these overlaps, PNG stocks share a significant negative relationship with crude volatility and positive relationships with crude skewness and kurtosis. Large cap stocks and those with a history of hedging exhibit negative loadings on crude volatility. However, after controlling for S&P 500- and crude oil returns and their risk-neutral moments, there is little evidence that PNG stocks systematically and significantly price either S&P 500- or crude oil volatility. We document a weak pricing of crude skewness, but find no evidence for the pricing of the implied higher moments of market returns. | |
| dc.format.medium | born digital | |
| dc.format.medium | articles | |
| dc.identifier.bibliographicCitation | Chatrath, A., Miao, H., & Ramchander, S. (2014). Crude oil moments and PNG stock returns. Energy Economics, 44. https://doi.org/10.1016/j.eneco.2014.04.010 | |
| dc.identifier.uri | https://hdl.handle.net/10217/206892 | |
| dc.language | English | |
| dc.language.iso | eng | |
| dc.publisher | Colorado State University. Libraries | |
| dc.relation.ispartof | Faculty Publications | |
| dc.rights | ©2020 Elsevier B.V. Author can archive pre-print and post-print. | |
| dc.rights | Copyright and other restrictions may apply. User is responsible for compliance with all applicable laws. For information about copyright law, please see https://libguides.colostate.edu/copyright. | |
| dc.subject | risk neutral moments | |
| dc.subject | crude oil | |
| dc.subject | petroleum and natural gas | |
| dc.subject | stock returns | |
| dc.title | Crude oil moments and PNG stock returns | |
| dc.type | Text |
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