Oil prices predict stock returns differently across sectors, impacting investment strategies.
The article explores how oil prices can predict stock returns, focusing on different sectors. The researchers found that the ability of oil prices to forecast stock returns varies depending on the data frequency and estimator used. They also discovered that oil prices are more important for certain sectors than others. Additionally, the study revealed that industry characteristics like book-to-market ratio, dividend yield, size, price earnings ratio, and trading volume play a significant role in predicting stock returns.