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Persistent link: https://www.econbiz.de/10011438556
We investigate the sources of time-variation in the stock-oil correlation over the period 1983-2019. We first derive a novel oil futures return news decomposition following Campbell and Shiller (1988) and Campbell (1991). Then, for both stocks and oil, we split unexpected returns into cash flow...
Persistent link: https://www.econbiz.de/10013492254