We examine how industry returns react to various oil shocks developed in Baumeister and Hamilton (2019) and find that oil supply shocks matter as much, if not more, as oil demand and economic activity shocks in driving industry returns. A long-short portfolio that buys (sells) industries benefiting (suffering) from negative oil supply shocks earns an initial abnormal monthly return of 0.88%. This return is corrected by sophisticated investors over time. We find no overreaction to oil demand and economic activity shocks. Our evidence corroborates the view that oil supply shocks matter and that retail investors tend to drive short-term overreaction.

我们研究了行业回报如何对 Baumeister 和 Hamilton (2019) 提出的各种石油冲击做出反应，并发现石油供应冲击与推动行业回报的石油需求和经济活动冲击同样重要，甚至更重要。买入（卖出）受益于（遭受）负面石油供应冲击的行业的多空投资组合的初始异常月回报率为 0.88%。随着时间的推移，经验丰富的投资者会纠正这种回报。我们没有发现对石油需求和经济活动冲击的过度反应。我们的证据证实了这样一种观点，即石油供应冲击很重要，散户投资者往往会导致短期反应过度。