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• W4283780739 endingPage "663" @default.
• W4283780739 startingPage "637" @default.
• W4283780739 abstract "The study examines the implications of structural oil price shocks on one of the most widely observed and pervasive momentum anomalies. We use a structural vector autoregression (SVAR) model to find the time-varying responses of momentum payoffs of India, Japan, the UK, and the US to different structural oil shocks—oil supply global aggregate demand shock, speculative shock, and other oil demand shocks. Structural oil shocks, particularly oil demand and speculative shocks, have important implications as conditioning information in predicting stock return momentum behavior according to the conditional asset pricing model. Overall, the results indicate that structural oil shocks have a significant impact on small cap and loser stock portfolios. Our findings have crucial implications to develop effective momentum investment strategies that consider structural oil shocks as conditioning information." @default.
• W4283780739 created "2022-07-03" @default.
• W4283780739 creator A5007014540 @default.
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• W4283780739 date "2022-09-01" @default.
• W4283780739 modified "2023-10-03" @default.
• W4283780739 title "Do oil price shocks have any implications for stock return momentum?" @default.
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• W4283780739 doi "https://doi.org/10.1016/j.eap.2022.06.016" @default.
• W4283780739 hasPublicationYear "2022" @default.
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