Do oil price shocks drive systematic risk premia in stock markets? A novel investment application

IF 6.3 2区经济学 Q1 BUSINESS, FINANCE

Research in International Business and Finance Pub Date : 2024-09-19 DOI:10.1016/j.ribaf.2024.102591

引用次数: 0

Abstract

This paper examines the effect of oil price shocks on factor returns in a set of 62 stock markets. Oil price shocks capture significant predictive information regarding the size and direction of factor returns in global markets, depending on the market classification and nature of oil shock. Oil supply and precautionary demand shocks possess the greatest predictive power over risk premia, particularly for value and momentum. We argue that time varying investor sentiment and the flexibility of firms to respond to economic shocks drive the responses of factors to oil shocks. More importantly, a conditional global factor investing strategy wherein the investment positions are tilted towards factor-based portfolios, conditional on the size and direction of the oil price shock, yields significant improvements in returns. Our findings show that smart beta strategies can be significantly improved by conditioning factor positions based on the size and direction of oil market shocks.

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油价冲击会推动股票市场的系统性风险溢价吗？一种新颖的投资应用

本文研究了石油价格冲击对 62 个股票市场要素回报的影响。根据市场分类和石油冲击的性质，石油价格冲击对全球市场要素回报的规模和方向具有重要的预测作用。石油供应和预防性需求冲击对风险溢价的预测能力最强，尤其是对价值和动量的预测能力。我们认为，随时间变化的投资者情绪和企业应对经济冲击的灵活性推动了要素对石油冲击的反应。更重要的是，有条件的全球因子投资策略，即投资头寸向基于因子的投资组合倾斜，以油价冲击的规模和方向为条件，能显著提高收益。我们的研究结果表明，根据石油市场冲击的规模和方向调整因子仓位，可以显著改善智能贝塔策略。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Research in International Business and Finance BUSINESS, FINANCE-

CiteScore

11.20

自引率

9.20%

发文量

240

期刊介绍： Research in International Business and Finance (RIBAF) seeks to consolidate its position as a premier scholarly vehicle of academic finance. The Journal publishes high quality, insightful, well-written papers that explore current and new issues in international finance. Papers that foster dialogue, innovation, and intellectual risk-taking in financial studies; as well as shed light on the interaction between finance and broader societal concerns are particularly appreciated. The Journal welcomes submissions that seek to expand the boundaries of academic finance and otherwise challenge the discipline. Papers studying finance using a variety of methodologies; as well as interdisciplinary studies will be considered for publication. Papers that examine topical issues using extensive international data sets are welcome. Single-country studies can also be considered for publication provided that they develop novel methodological and theoretical approaches or fall within the Journal''s priority themes. It is especially important that single-country studies communicate to the reader why the particular chosen country is especially relevant to the issue being investigated. [...] The scope of topics that are most interesting to RIBAF readers include the following: -Financial markets and institutions -Financial practices and sustainability -The impact of national culture on finance -The impact of formal and informal institutions on finance -Privatizations, public financing, and nonprofit issues in finance -Interdisciplinary financial studies -Finance and international development -International financial crises and regulation -Financialization studies -International financial integration and architecture -Behavioral aspects in finance -Consumer finance -Methodologies and conceptualization issues related to finance