Oil price uncertainty and stock price informativeness: Evidence from investment-price sensitivity in China
研究油价不确定性如何通过挤出知情投资者降低股价对未来投资机会的预测能力，基于2008-2021年中国股票数据，发现投资-价格敏感性在竞争弱、销售波动高、分析师关注低的公司中下降更明显。
We study the effects of oil price uncertainty (OPU) on stock price informativeness based on investment-price sensitivity. Using Chinese stocks from 2008 to 2021, we find a negative relationship between OPU and the strength of Tobin's q (a standardized measure of prices) for predicting investment opportunities. This finding is likely due to the crowding out of informed investors rather than the financial constraints brought by a higher cost of capital. Investment-price sensitivity also decreases more among firms in less-competition, high sales volatility, and lower analysts' attention. What is more, the reduction in investment-price sensitivity is more concentrated in public utilities, agriculture & livestock, and industry instead of in real estate or commerce industries. These findings indicate that OPU decreases the acquisition of information related to firms, and consequently, price informativeness for future investment decisions.