Document Type

Article

Publication Date

12-14-2021

Abstract

This paper examines how the relationship between stock returns of U.S. firms and WTI oil prices is affected by leverage (debt to total assets) from 1990 to 2020. Results from our fixed-effect regression models suggest that leverage effects on stock returns are pervasive both in aggregate and cross-industry levels, while the mining industry is more sensitive. In addition to the positive oil price effects attenuated by leverage at the aggregate level, we observe stronger marginal effects of leverage only for the mining sector. Being more exposed to commodity prices, the positive effects of oil prices on stock returns in the mining sector are offset by large debt ratios. Asymmetries, effects of debt maturity structure, and implications are also discussed.

Comments

Original published version available at https://doi.org/10.1108/IJMF-06-2021-0257

Creative Commons License

Creative Commons Attribution-NonCommercial 4.0 International License
This work is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License

Publication Title

International Journal of Managerial Finance

DOI

10.1108/IJMF-06-2021-0257

Included in

Finance Commons

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