Corporate Debt and Stock Returns : Evidence from U.S. Firms during the 2020 Oil Crash

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 price...

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Main Authors:	Arezki, Rabah, Cho, Caleb, Nguyen, Ha, Nguyen, Kate, Pham, Anh
Format:	Working Paper
Language:	English
Published:	World Bank, Washington, DC 2022
Subjects:	OIL PRICE FLUCTUATION OIL MARKETS OIL STOCKS OIL FIRMS STOCK RETURNS OIL COMPANY DEBT CORPORATE DEBT VOLATILITY
Online Access:	http://documents.worldbank.org/curated/en/099321006132232621/IDU0a5790cde017dc04db90beef0f0fdcc68dbc6 http://hdl.handle.net/10986/37548

id	okr-10986-37548
recordtype	oai_dc
spelling	okr-10986-375482022-06-15T05:10:41Z Corporate Debt and Stock Returns : Evidence from U.S. Firms during the 2020 Oil Crash Arezki, Rabah Cho, Caleb Nguyen, Ha Nguyen, Kate Pham, Anh OIL PRICE FLUCTUATION OIL MARKETS OIL STOCKS OIL FIRMS STOCK RETURNS OIL COMPANY DEBT CORPORATE DEBT VOLATILITY 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 of oil prices on oil firms’ stock returns. Moreover, the muted role of debt was not likely caused by the liquidity backstop provided by the Federal Reserve. 2022-06-14T21:59:53Z 2022-06-14T21:59:53Z 2022-06 Working Paper http://documents.worldbank.org/curated/en/099321006132232621/IDU0a5790cde017dc04db90beef0f0fdcc68dbc6 http://hdl.handle.net/10986/37548 English Policy Research Working Papers;10079 CC BY 3.0 IGO http://creativecommons.org/licenses/by/3.0/igo World Bank World Bank, Washington, DC Policy Research Working Paper Publications & Research United States
repository_type	Digital Repository
institution_category	Foreign Institution
institution	Digital Repositories
building	World Bank Open Knowledge Repository
collection	World Bank
language	English
topic	OIL PRICE FLUCTUATION OIL MARKETS OIL STOCKS OIL FIRMS STOCK RETURNS OIL COMPANY DEBT CORPORATE DEBT VOLATILITY
spellingShingle	OIL PRICE FLUCTUATION OIL MARKETS OIL STOCKS OIL FIRMS STOCK RETURNS OIL COMPANY DEBT CORPORATE DEBT VOLATILITY Arezki, Rabah Cho, Caleb Nguyen, Ha Nguyen, Kate Pham, Anh Corporate Debt and Stock Returns : Evidence from U.S. Firms during the 2020 Oil Crash
geographic_facet	United States
relation	Policy Research Working Papers;10079
description	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 of oil prices on oil firms’ stock returns. Moreover, the muted role of debt was not likely caused by the liquidity backstop provided by the Federal Reserve.
format	Working Paper
author	Arezki, Rabah Cho, Caleb Nguyen, Ha Nguyen, Kate Pham, Anh
author_facet	Arezki, Rabah Cho, Caleb Nguyen, Ha Nguyen, Kate Pham, Anh
author_sort	Arezki, Rabah
title	Corporate Debt and Stock Returns : Evidence from U.S. Firms during the 2020 Oil Crash
title_short	Corporate Debt and Stock Returns : Evidence from U.S. Firms during the 2020 Oil Crash
title_full	Corporate Debt and Stock Returns : Evidence from U.S. Firms during the 2020 Oil Crash
title_fullStr	Corporate Debt and Stock Returns : Evidence from U.S. Firms during the 2020 Oil Crash
title_full_unstemmed	Corporate Debt and Stock Returns : Evidence from U.S. Firms during the 2020 Oil Crash
title_sort	corporate debt and stock returns : evidence from u.s. firms during the 2020 oil crash
publisher	World Bank, Washington, DC
publishDate	2022
url	http://documents.worldbank.org/curated/en/099321006132232621/IDU0a5790cde017dc04db90beef0f0fdcc68dbc6 http://hdl.handle.net/10986/37548
_version_	1764487436057968640

Corporate Debt and Stock Returns : Evidence from U.S. Firms during the 2020 Oil Crash

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