Oil price shocks, competition, and oil & gas stock returns — Global evidence
利用70个国家1983至2014年的企业月度数据，研究发现油价冲击正向影响油气企业股票回报，而宏观经济压力有负向影响；高产油国企业更敏感，非竞争行业企业受油价冲击影响较小。
Extant literature suggests that oil price shocks have a strong impact on the macroeconomy and the stock market. However, relatively less is known about the effect of country-level determinants, competition, and asymmetrical relationship in affecting the oil & gas stock return at the firm-level. Using a comprehensive firm-level monthly data from 70 countries spanning 1983 to 2014, we find: (i) macroeconomic stress negatively impact firm-level returns; (ii) oil price shocks positively impact firm-level returns; (iii) firms located in high oil producing countries are more sensitive to global uncertainty and oil price shocks; (iv) firms located in non-competitive industries are less sensitive to oil price shocks; and (v) firms located in non-competitive industries are less affected by the drop in oil price, as compared to firms that are located in highly competitive industries. Our results remain qualitatively similar using a battery of robustness checks.