There is a rich evidence base on the impact of oil prices, their changes, or some transformation/decomposition to obtain a measure of `oil price shocks’, to stock market returns. Despite this, most prior research focuses either on aggregate stock market indices or selected industrial sectors. The existing literature has paid relatively little attention to examining the relationships using firmlevel data. Moreover, among the existing studies using firm-level data, only limited consideration has been given to the time-varying patterns of association between oil prices and stock markets.

中文翻译：

---

油价对美国股票回报的（随时间变化的）重要性：两个选美比赛的故事

有丰富的证据表明石油价格、其变化或某种转化/分解对股票市场回报的影响，以获得“石油价格冲击”的衡量标准。尽管如此，大多数先前的研究都集中在总体股票市场指数或选定的工业部门上。现有文献相对较少关注使用企业级数据检查关系。此外，在使用公司层面数据的现有研究中，对石油价格与股票市场之间关联的时变模式只给予了有限的考虑。