Future Stock Performance of Oil and Gas Firms Conditional on the Imputed Value of Reserves View Full Text


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Article Info

DATE

2000-08

AUTHORS

Steven L. Henning, Wayne H. Shaw

ABSTRACT

Harris and Ohlson (1990) provide evidence suggesting market inefficiencies in the pricing of oil and gas firms in the 1979–1984 period. This paper examines three possible explanations for their results. First, are differences in oil and gas market values (IVR) explained by risk differences. Second, is the trading rule sensitive to changes in oil and gas prices? Third, can the results be replicated in a later period?We provide evidence in support of the risk-based explanation by demonstrating that approximately 75% of the trading rule return can be explained by adjusting for a stock's covariance with market and energy price movements. In addition, we demonstrate some time specific element to the results since the trading rule performs poorly in a subsequent time period. More... »

PAGES

127-135

Identifiers

URI

http://scigraph.springernature.com/pub.10.1023/a:1008365013153

DOI

http://dx.doi.org/10.1023/a:1008365013153

DIMENSIONS

https://app.dimensions.ai/details/publication/pub.1040471937


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