Fan, Qinbin; Jahan-Parvar, Mohammad R. - In: International Review of Economics & Finance 22 (2012) 1, pp. 112-128
This paper empirically investigates and provides further support for the oil price effect documented in Driesprong et al. (2008) in the U.S. industry-level returns. We find that oil price predictability is concentrated in a relatively small number of industry-level returns, the relevant measure...