Oil Risk in Oil Stocks, an UK perspective
CHEN, YUN SHI (2011) Oil Risk in Oil Stocks, an UK perspective. [Dissertation (University of Nottingham only)] (Unpublished)
I assess the oil price sensitivities and oil risk premium of oil and gas firms listed in London Stock Exchange by using a two-step regression model under two different Arbitrage Pricing Model: macro-economic multi-factor APT model originated from Chen, Ross & Roll (1986) as well as integrated model which also includes Fama and French’s three factors of return.
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