Oil Price Exposure and the Cross-Section of Stock Returns
研究发现股市投资者对油价变化影响未来盈利公告的信息反应迟缓，基于此构建的横截面交易策略年化夏普比率为0.50，在油价大幅波动、衰退或熊市及盈利旺季表现更佳。
Abstract We provide evidence that equity investors are slow to process information about how current oil price changes affect future earnings announcements. Stock prices respond to lagged quarterly oil price changes when firms start announcing earnings in the next quarter. A cross-sectional equity trading strategy that exploits this predictability yields an annualized Sharpe ratio of 0.50. Our oil-response forecast strategy earns especially high returns after large absolute oil price changes, in recessions or bear markets, and during peak earnings season. The predictability we document is consistent with limited attention, is not driven by risk factor exposure, and survives several robustness tests.