@techreport{fb5322d811ab472fae289ad259782db3,
title = "Oil Volatility Risk and Expected Stock Returns",
abstract = "After the financialization of commodity futures markets in 2004-05 oil volatility has become a strong predictor of returns and volatility of the overall stock market. Furthermore, stocks' exposure to oil volatility risk now drives the cross-section of expected returns. The difference in average return between the quintile of stocks with low exposure and high exposure to oil volatility is significant at 0.66% per month, and oil volatility risk carries a significant risk premium of -0.60% per month. In the post-financialization period, oil volatility risk is strongly related with various measures of funding liquidity constraints suggesting an economic channel for the effect.",
keywords = "Option-implied volatility, Oil prices, Volatility risk, Cross-section, Factor- mimicking portfolios, Financial intermediaries.",
author = "Peter Christoffersen and Pan, {Xuhui (Nick)}",
year = "2015",
doi = "10.2139/ssrn.2399677",
language = "English",
series = "Creates Research Paper",
publisher = "Aarhus Universitetsforlag",
number = "2015-6",
address = "Denmark",
type = "WorkingPaper",
institution = "Aarhus Universitetsforlag",
}