Factors behind the Pricing of Eastern and Western European Oil and Gas Companies
Factors behind the Pricing of Eastern and Western European Oil and Gas Companies

Author(s): Gábor Bóta, Mihály Ormos, Dániel Tunkli
Subject(s): Business Economy / Management, Energy and Environmental Studies, Financial Markets
Published by: Masarykova univerzita nakladatelství
Keywords: asset pricing; oil price; time varying beta;
Summary/Abstract: We investigate the factors influencing returns of European oil and gas companies. Our data set consist of 60 European oil and gas firms: 39 representing developed Western European countries and 21 from Central and Eastern Europe. We run regressions for the following market equilibrium models: standard CAPM, Fama-French three-factor model, Carhart four-factor model and Pastor-Stambaugh five-factor model using different variables as a market proxy, furthermore we extend all the models with the oil price as well. We also distinct different situations regarding the movement of general market prices, and oil price as well to examine regime dependency of the applied model.

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