Chatrath, Arjun, authorMiao, Hong, authorRamchander, Sanjay, authorEnergy Economics, publisher2020-05-182020-05-182014-04-24Chatrath, A., Miao, H., & Ramchander, S. (2014). Crude oil moments and PNG stock returns. Energy Economics, 44. https://doi.org/10.1016/j.eneco.2014.04.010https://hdl.handle.net/10217/206892Includes bibliographical references (pages 27-29).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.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.born digitalarticleseng©2020 Elsevier B.V. Author can archive pre-print and post-print.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.risk neutral momentscrude oilpetroleum and natural gasstock returnsText