Oil price changes can predict stock returns in the short term better than other popular predictors. This predictive power remains strong even during financial crises. The study shows that oil price changes are the only variable with forecasting ability for stock returns. This finding holds true even when considering other variables and in out-of-sample tests. Additionally, a model based on oil price shocks outperforms other models, including the Fama French three-factor model, in predicting expected stock returns. This suggests that oil prices can be a useful tool for market-timing investors due to their high-frequency and readily available nature.