Risk Factors and Value at Risk in Publicly Traded Companies of the Nonrenewable Energy Sector

Título: Risk Factors and Value at Risk in Publicly Traded Companies of the Nonrenewable Energy Sector

Autores: Marcelo Bianconi, Joe A. Yoshino

Sinopse: We analyze a sample of 64 oil and gas companies of the nonrenewable energy sector from 24 countries using daily observations on return on stock from July 15, 2003 to August 14, 2012. We show that specific and common risk factors are priced. Specific risk factors including company size and leverage are important in explaining returns of energy companies and those companies became more exposed to credit concerns after the financial crisis of 2008. Common risk factors including the U.S. Dow Jones market excess return, the VIX, the WTI price of crude oil, and the FX of the Euro, Chinese yuan, Brazilian real, Japanese yen and British pound vis-à-vis the U.S. dollar are also important in explaining energy company returns. The foreign exchange effect accounts for the fact that many companies in the sector receive revenues denominated in domestic currency while their costs are in foreign currency.

Data da publicação: May 2014

Periódico/Editora: Energy Economics, ELSEVIER

Edição: Vol 45, pp, 19-32 (2014)

Palavras-chave: Return on stocks, Price of risk, Value at risk, Oil and gas industry, Dynamic conditional correlation