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Forecasting the sign of U.S. oil and gas industry stock index excess returns employing macroeconomic variables

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dc.contributor.authorLiu, Jingzhen
dc.contributor.authorKemp, Alexander
dc.contributor.institutionUniversity of Aberdeen.Business Schoolen
dc.contributor.institutionUniversity of Aberdeen.Centre for Energy Transitionen
dc.contributor.institutionUniversity of Aberdeen.Economicsen
dc.contributor.institutionUniversity of Aberdeen.Energyen
dc.date.accessioned2020-11-02T00:06:56Z
dc.date.available2020-11-02T00:06:56Z
dc.date.embargoedUntil2020-11-02
dc.date.issued2019-06
dc.descriptionThe authors are grateful for the funding support of the University of Aberdeen Elphinstone Scholarship for this research. The authors thank the Associate Editor and two referees for their critical comments that have led to significant improvements of the paper.en
dc.description.statusPeer revieweden
dc.format.extent15
dc.format.extent1344106
dc.identifier143973159
dc.identifier9ffbe6e3-ab48-4373-ab07-9fde59e70a9c
dc.identifier85066410661
dc.identifier000478710000052
dc.identifier.citationLiu, J & Kemp, A 2019, 'Forecasting the sign of U.S. oil and gas industry stock index excess returns employing macroeconomic variables', Energy Economics, vol. 81, pp. 672-686. https://doi.org/10.1016/j.eneco.2019.04.023en
dc.identifier.doi10.1016/j.eneco.2019.04.023
dc.identifier.issn0140-9883
dc.identifier.otherMendeley: db6b7b2b-6e42-3136-b209-fa83eed485b9
dc.identifier.otherORCID: /0000-0001-7620-7161/work/147569637
dc.identifier.urihttps://hdl.handle.net/2164/15302
dc.identifier.urlhttp://www.mendeley.com/research/forecasting-sign-oil-gas-industry-stock-index-excess-returns-employing-macroeconomic-variables-1en
dc.identifier.vol81en
dc.language.isoeng
dc.relation.ispartofEnergy Economicsen
dc.subjectSDG 7 - Affordable and Clean Energyen
dc.subjectExcess stock returnen
dc.subjectU.S. Oil and gas industryen
dc.subjectProbit modelen
dc.subjectMarket timingen
dc.subjectBig dataen
dc.subjectUS Oil and gas industryen
dc.subjectMARKETen
dc.subjectPERFORMANCEen
dc.subjectINFORMATIONen
dc.subjectTRADING RULE PROFITSen
dc.subjectRISK EXPOSUREen
dc.subjectCLASSIFICATIONen
dc.subjectSHARPEen
dc.subjectMODEL SELECTIONen
dc.subjectCANADIAN OILen
dc.subjectPRICE RISKen
dc.subjectHB Economic Theoryen
dc.subject.lccHBen
dc.titleForecasting the sign of U.S. oil and gas industry stock index excess returns employing macroeconomic variablesen
dc.typeJournal articleen

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