Betting on war? Oil prices, stock returns, and extreme geopolitical events
研究发现油价变化预测股票回报的能力仅限于极端地缘政治动荡时期，四个主要事件（1973年阿以战争、1986年OPEC崩溃、1990/91年海湾战争、2003年伊拉克战争）解释了大部分预测性，且基于油价的择时策略通常无法产生显著异常回报。
We show that the ability of oil price changes to predict stock returns is limited to periods of extreme geopolitical unrest. Four events generate most of the predictability: the 1973 Arab-Israel war, the 1986 OPEC collapse, the 1990/91 Persian gulf war, and the 2003 invasion of Iraq. We also find that a market-timing trading strategy based on oil price changes typically generates insignificant abnormal returns, contradicting previously published results. Our findings serve as an example of how a significant predictor in a time series forecasting regression may not be a useful or profitable market-timing signal.