The lead of oil price rises on US equity market beliefs and preferences
研究发现油价上涨对美股信念和偏好的影响取决于股市波动状态：低波动时油价上涨提升现金流预期、降低长期波动并增加风险厌恶；高波动时则相反。
Abstract We find that oil price rises from a strengthening global economy have a state‐dependent lead on US equity market beliefs and preferences. When equity volatility is low, rising oil prices lead higher cashflow expectations, lower long‐run (LR) volatility, and increased LR risk aversion. When volatility is high, markets focus on the contractionary effects of higher input costs, with rising oil prices leading decreased cashflow expectations, higher LR volatility, and decreased LR risk aversion. Findings suggest important refinements for asset pricing, portfolio choice, and models that link financial markets to the macroeconomy.