Narayan, Paresh Kumar; Sharma, Susan Sunila - In: Journal of Banking & Finance 35 (2011) 12, pp. 3253-3262
In this paper, we examine the relationship between oil price and firm returns for 560 US firms listed on the NYSE … strong evidence of lagged effect of oil price on firm returns. Third, we test whether oil price affects firm returns based on … affects firm returns differently based on firm size, implying strong evidence of size effects. …