Risk factors and value at risk in publicly traded companies of the nonrenewable energy sector

Hedging Oil and Market Price Risk for U.S. Oil and Gas Industry Investors after Using Copulas to Model Dependencies

“…El-Sharif et al (2005) found that the relationship between movements in crude oil prices and the stock returns of UK O&G companies is always positive and often significant based on a multi-factor linear model. The results of the studies of Ramos and Veiga (2011) and Bianconi and Yoshino (2014) show that the returns of aggregate market index and oil prices have significant and positive impacts on O&G industry indices and O&G companies based on investigating stock indices and companies from different countries. Sanusi and Ahmad (2016) investigated the lag asymmetric effects of the Brent crude oil price on the stock returns of UK O&G companies using daily observations.…”

“…The returns of the aggregate market index and the oil have been identified as two major risk factors for stock returns of oil and gas companies. The Ordinary Least Square (OLS) regression and Vector Autoregressive (VAR) methods are widely used in the previous research related to the oil and gas industry(see Sadorsky (2001); Boyer and Filion (2007); Bianconi and Yoshino (2014); Hammoudeh et al (2004); Sanusi and Ahmad (2016); Diaz and de Gracia (2017); Gupta (2016); Kang et al (2017)). However, OLS and VAR methods only capture the influence of two risk factors on stock returns in mean on average but are not sufficient to capture the dependence structure in higher moments or tail dependence.…”

Common risk factors of infrastructure investments

“…As Bradley et al (1984) show, telecommunication, transportation, and utility companies have by far the highest debt ratios. Bianconi and Yoshino (2014) show that leverage is significantly and robustly priced in oil and gas companies of the nonrenewable energy sector. Rothballer and Kaserer (2012) show that higher financial leverage also has a positive impact on return volatility of infrastructure stocks, meaning that higher leverage increases the risk profile of stocks.…”

“…Energy Economics 49 (2015) [257][258][259][260][261][262][263][264][265][266][267][268][269][270][271][272][273] This paper contributes to the empirical literature on transport, telecommunication, and utility firms by developing an asset class factor model for infrastructure investments. 1 This paper is linked to the ongoing discussion in energy economics about the risk and return characteristics of energy, transportation and telecommunication investments (see Boyer and Filion (2007); Ford (2007); Gasmi and Oviedo (2010); Elyasiani et al (2011); Ramos and Veiga (2011); Aggarwal et al (2012); Sklavos et al (2013); Bianconi and Yoshino (2014); or Lopatta and Kaspereit (2014)). Specifically, we identify five factors in addition to the market beta that are characteristic for infrastructure firms in terms of risk and return: cash flow volatility, leverage, an investment growth factor, a term premium and a default premium.…”

Energy Sector Companies of the BRICS: Systematic and Specific Financial Risks and Value at Risk

“…The reader is also referred toYoshino (2012b and2013) for additional review of related issues in the broad commodities sector from a worldwide perspective.…”