Oil Risk in Oil Stocks, an UK perspective
I assess the oil price sensitivities and oil risk premium of oil and gas firms listed in London Stock Exchange by using a two-step regression model under two different Arbitrage Pricing Model: macro-economic multi-factor APT model originated from Chen, Ross & Roll (1986) as well as integrated m...
| Main Author: | |
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| Format: | Dissertation (University of Nottingham only) |
| Language: | English |
| Published: |
2011
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| Online Access: | https://eprints.nottingham.ac.uk/25309/ |
| _version_ | 1848792956826288128 |
|---|---|
| author | CHEN, YUN SHI |
| author_facet | CHEN, YUN SHI |
| author_sort | CHEN, YUN SHI |
| building | Nottingham Research Data Repository |
| collection | Online Access |
| description | I assess the oil price sensitivities and oil risk premium of oil and gas firms listed in London Stock Exchange by using a two-step regression model under two different Arbitrage Pricing Model: macro-economic multi-factor APT model originated from Chen, Ross & Roll (1986) as well as integrated model which also includes Fama and French’s three factors of return.
In all, I found the oil price stock is positively associated with the return of the market, the increase of the crude oil price; but little evidence is found that oil price stock is negatively associated with company internal factor such as Earning to Price Ratio as well as Book to Market Ratio. There isn’t enough evidence found to support that oil firms’ sensitivities to the market, the oil price, the Earning to Price Ratio, the Book to Market Ratio is properly priced by the market under the integrated model neither. This might because that, the overall function of London Stock Exchange to the oil and gas industry works differently to other major stock market such as New York Stock Exchange. |
| first_indexed | 2025-11-14T18:52:39Z |
| format | Dissertation (University of Nottingham only) |
| id | nottingham-25309 |
| institution | University of Nottingham Malaysia Campus |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-14T18:52:39Z |
| publishDate | 2011 |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | nottingham-253092018-01-25T06:31:15Z https://eprints.nottingham.ac.uk/25309/ Oil Risk in Oil Stocks, an UK perspective CHEN, YUN SHI I assess the oil price sensitivities and oil risk premium of oil and gas firms listed in London Stock Exchange by using a two-step regression model under two different Arbitrage Pricing Model: macro-economic multi-factor APT model originated from Chen, Ross & Roll (1986) as well as integrated model which also includes Fama and French’s three factors of return. In all, I found the oil price stock is positively associated with the return of the market, the increase of the crude oil price; but little evidence is found that oil price stock is negatively associated with company internal factor such as Earning to Price Ratio as well as Book to Market Ratio. There isn’t enough evidence found to support that oil firms’ sensitivities to the market, the oil price, the Earning to Price Ratio, the Book to Market Ratio is properly priced by the market under the integrated model neither. This might because that, the overall function of London Stock Exchange to the oil and gas industry works differently to other major stock market such as New York Stock Exchange. 2011-12-15 Dissertation (University of Nottingham only) NonPeerReviewed application/pdf en https://eprints.nottingham.ac.uk/25309/1/Dissertation_Final.pdf CHEN, YUN SHI (2011) Oil Risk in Oil Stocks, an UK perspective. [Dissertation (University of Nottingham only)] (Unpublished) |
| spellingShingle | CHEN, YUN SHI Oil Risk in Oil Stocks, an UK perspective |
| title | Oil Risk in Oil Stocks, an UK perspective |
| title_full | Oil Risk in Oil Stocks, an UK perspective |
| title_fullStr | Oil Risk in Oil Stocks, an UK perspective |
| title_full_unstemmed | Oil Risk in Oil Stocks, an UK perspective |
| title_short | Oil Risk in Oil Stocks, an UK perspective |
| title_sort | oil risk in oil stocks, an uk perspective |
| url | https://eprints.nottingham.ac.uk/25309/ |