We examine the consequences of the oil prices movements started in July 2014 on the financial systematic risk – proxied by Betas – of firms operating in the Unconventional Oil & Gas Industry, compared to that of the Conventional Oil & Gas players. The analysis is developed using two cross section regressions, performed before and after the 2014 oil price drop respectively. The results look coherent with the reasonable belief that a sharp and sudden decrease in the oil price can generally lead to higher Betas in the Oil & Gas Industry. Interestingly, it emerged that the market tends to attribute an additional risk to unconventional firms and, analyzing the regression coefficients evolution, it appears that this circumstance has been substantially amplified by the 2014 oil price shock. To our knowledge this is the first paper covering the topic treated.

Effects of oil price fall on the betas in the unconventional oil & gas industry

emanuele teti
;
maurizio dallocchio;
2020

Abstract

We examine the consequences of the oil prices movements started in July 2014 on the financial systematic risk – proxied by Betas – of firms operating in the Unconventional Oil & Gas Industry, compared to that of the Conventional Oil & Gas players. The analysis is developed using two cross section regressions, performed before and after the 2014 oil price drop respectively. The results look coherent with the reasonable belief that a sharp and sudden decrease in the oil price can generally lead to higher Betas in the Oil & Gas Industry. Interestingly, it emerged that the market tends to attribute an additional risk to unconventional firms and, analyzing the regression coefficients evolution, it appears that this circumstance has been substantially amplified by the 2014 oil price shock. To our knowledge this is the first paper covering the topic treated.
2020
2020
Teti, Emanuele; Dallocchio, Maurizio; de sanctis, Daniele
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11565/4029457
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