This paper explores the effect of oil price fluctuations on the stock returns of U.S. oil firms using an identification strategy through heteroskedasticity, exploiting the 2020 oil price crash. The results are twofold. First, a decline in oil prices significantly reduces oil firms’ stock returns. On average, a 1 percent decline in oil prices leads to a 0.44 percent decline in stock prices. Second, firm debt appears irrelevant in mediating the effect...
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INFORMATION
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2022/06/13
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Document de travail de recherche sur les politiques
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WPS10079
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1
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2022/06/13
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Disclosed
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Corporate Debt and Stock Returns : Evidence from U.S. Firms during the 2020 Oil Crash