Modelling oil and gas stock returns using multi factor asset pricing model including oil price exposure

Muhammad Surajo Sanusi*, Farooq Ahmad

*Corresponding author for this work

    Research output: Contribution to journalArticlepeer-review

    34 Citations (SciVal)
    Original languageEnglish
    Pages (from-to)89-99
    Number of pages11
    JournalFinance Research Letters
    Volume18
    DOIs
    Publication statusPublished (VoR) - 1 Aug 2016

    Keywords

    • Asset pricing model
    • Asymmetry in oil price
    • Book to market ratio
    • Brent crude oil
    • Oil and gas sector
    • Oil price exposure
    • Size effect
    • Structural breaks

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