ABSTRACT

In this article, we apply the threshold autoregressive model to examine oil price thresholds and the relationship between oil prices and the returns of 25 benchmark portfolios formed on size and book-to-market. Our results show that the relationship between the change in oil prices and portfolio returns reverses depending on whether the current oil price is above or below the estimated oil price threshold. Additional results show that this threshold effect is concentrated in the small stock portfolios. Finally, our finding that there is a threshold effect of oil price changes on stock returns is consistent with the theoretical model of investor sentiment presented by Barberis, Shleifer, and Vishny (1998) and is intuitively consistent with the economic dynamics and structure of the oil industry.

摘要

在本文中，我们应用阈值自回归模型来检验油价阈值以及油价与25个基准投资组合（按规模和按市值计价）的回报之间的关系。我们的结果表明，油价变化和投资组合收益之间的关系取决于当前油价是高于还是低于估算油价阈值而反向。其他结果表明，这种门槛效应集中在小型股票投资组合中。最后，我们的发现油价变化对股票收益具有阈值影响，这与Barberis，Shleifer和Vishny（1998）提出的投资者情绪理论模型是一致的，并且在直觉上与石油的经济动态和结构一致行业。