Striking oil: Another puzzle? Export

@article{citeulike:3279916, abstract = {Changes in oil prices predict stock market returns worldwide. We find significant predictability in both developed and emerging markets. These results cannot be explained by time-varying risk premia as oil price changes also significantly predict negative excess returns. Investors seem to underreact to information in the price of oil. A rise in oil prices drastically lowers future stock returns. Consistent with the hypothesis of a delayed reaction by investors, the relation between monthly stock returns and lagged monthly oil price changes strengthens once we introduce lags of several trading days between monthly stock returns and lagged monthly oil price changes.}, author = {Driesprong, Gerben and Jacobsen, Ben and Maat, Benjamin}, citeulike-article-id = {3279916}, citeulike-linkout-0 = {http://dx.doi.org/10.1016/j.jfineco.2007.07.008}, citeulike-linkout-1 = {http://www.sciencedirect.com/science/article/B6VBX-4SVKSVK-1/2/26a285a17d793a72ae5a5dee67446cb3}, doi = {10.1016/j.jfineco.2007.07.008}, journal = {Journal of Financial Economics}, keywords = {commodities, growth}, month = {August}, number = {2}, pages = {307--327}, posted-at = {2008-09-17 14:15:30}, priority = {2}, title = {Striking oil: Another puzzle?}, url = {http://dx.doi.org/10.1016/j.jfineco.2007.07.008}, volume = {89}, year = {2008} }

TY - JOUR ID - citeulike:3279916 L3 - citeulike-article-id:3279916 N2 - Changes in oil prices predict stock market returns worldwide. We find significant predictability in both developed and emerging markets. These results cannot be explained by time-varying risk premia as oil price changes also significantly predict negative excess returns. Investors seem to underreact to information in the price of oil. A rise in oil prices drastically lowers future stock returns. Consistent with the hypothesis of a delayed reaction by investors, the relation between monthly stock returns and lagged monthly oil price changes strengthens once we introduce lags of several trading days between monthly stock returns and lagged monthly oil price changes. IS - 2 JF - Journal of Financial Economics EP - 327 TI - Striking oil: Another puzzle? VL - 89 SP - 307 KW - commodities KW - growth AU - Driesprong, Gerben AU - Jacobsen, Ben AU - Maat, Benjamin PY - 2008/08// UR - http://dx.doi.org/10.1016/j.jfineco.2007.07.008 ER -