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- W1639440229 abstract "After the financialization of commodity futures markets in 2004-05 oil volatility has become a strong predictor of returns and volatility of the overall stock market. Furthermore, stocks' exposure to oil volatility risk now drives the cross-section of expected returns. The difference in average return between the quintile of stocks with low exposure and high exposure to oil volatility is significant at 0.66% per month, and oil volatility risk carries a significant risk premium of -0.60% per month. In the post-financialization period, oil volatility risk is strongly related with various measures of funding liquidity constraints suggesting an economic channel for the effect." @default.
- W1639440229 created "2016-06-24" @default.
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- W1639440229 date "2014-01-01" @default.
- W1639440229 modified "2023-09-27" @default.
- W1639440229 title "Oil Risk Exposure and Expected Stock Returns" @default.
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- W1639440229 doi "https://doi.org/10.2139/ssrn.2399677" @default.
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