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The (time-varying) Importance of Oil Prices to US Stock Returns: A Tale of Two Beauty-Contests

Broadstock, DC; Filis, G

Filis, G (corresponding author), Bournemouth Univ, Dept Accounting Finance & Econ, Bournemouth, Dorset, England.; Filis, G (corresponding author), Univ Patras, Dept Econ, Patras, Greece.

ENERGY JOURNAL, 2020; 41 (6): 1

Abstract

We evaluate the probability that oil prices affect excess stock returns for U.S. listed firms. The probabilities are obtained from a time-varying mult......

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