Empirical evidence of news about future prospects in the risk-pricing of oil assets

This empirical paper investigates the relevance of long-run risks associated with uncertainty shocks to future growth prospects (news about future prospects) for explaining the risk-pricing of oil stocks. An econometric method that incorporates dynamic factor analysis is used for estimating the pric...

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Veröffentlicht in:	Energy economics 2017-05, Vol.64, p.458-468
Hauptverfasser:	Kakeu, Johnson, Bouaddi, Mohammed
Format:	Artikel
Sprache:	eng
Schlagworte:	Correlation analysis Data-rich environment Discriminant analysis Dynamic factor analysis Econometrics Economic crisis Empirical analysis Energy economics Factor analysis Future prospects Geopolitics of oil Historical events Indexes Investors Labor market Long-run risks Markets News Oil Oil stock Petroleum Prices Pricing Prospects Risk Risk management Securities markets Stochastic models Stochastic recursive utility Stock exchanges Stock market crashes Stocks Uncertainty
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