Estimating Oil Risk Factors Using Information from Equity and Derivatives Markets
提出一种新方法，从衍生品价格和石油相关股票收益中提取四个有经济含义的石油风险因子，发现这些因子对非石油证券定价有显著影响，其风险溢价与宏观经济变量及投资组合收益相关。
ABSTRACT We introduce a novel approach to estimating latent oil risk factors and establish their significance in pricing nonoil securities. Our model, which features four factors with simple economic interpretations, is estimated using both derivative prices and oil‐related equity returns. The fit is excellent in and out of sample. The extracted oil factors carry significant risk premia, and are significantly related to macroeconomic variables as well as portfolio returns sorted on characteristics and industry. The average nonoil portfolio exhibits a sensitivity to the oil factors amounting to a sixth (in magnitude) of that of the oil industry itself.