The Institute of Finance and Financial Regulation ( IFFR ) invites you to the seminar
Oil and Equity Return Predictability: The importance of dissecting oil price changes
Presented by Dr Georgios Skoulakis, University of British Columbia
17:30-19:00, February 13, 2019
Bank of Greece Head Office , 21 El. Venizelos Str., Athens, 2nd floor, Conference Room N.212-214
Entry Requirement: Passport / ID card
Abstract: We document that oil price changes no longer predict G7 country equity index returns, in contrast to evidence based on data until the mid-2000s. Using a structural vector autoregression approach, we decompose oil price changes into oil supply shocks, global demand shocks, and oil-specific demand shocks. The hypothesis that oil supply shocks and oil-specific demand shocks (global demand shocks) predict equity returns with a negative (positive) slope is supported by the empirical evidence over the 1986-2015 period. The results are statistically and economically significant and do not appear to be consistent with time-varying risk premia.
Dr. Georgios Skoulakis is an Assistant Professor in the Finance division of the Sauder School of Business at the University of British Columbia, and an IFFR Fellow. His research focuses on empirical asset pricing, financial econometrics, and portfolio choice. His publications have appeared in journals such as the Journal of Financial Economics, Review of Financial Studies, Journal of Econometrics, Journal of Business and Economics Statistics, and the Mathematics and Financial Economics. Dr Skoulakis holds a Ph.D. in Finance from Northwestern University and a Ph.D in Statistics from the University of North Carolina at Chapel Hill.
To attend the event, advance registration is required by Friday February 8, 2019. To register, please e-mail contact@iffr.gr by providing your name, e-mail and affiliation. Registrations are on a first-come, first-served basis. Attendance of the event is free of charge. To enter in the venue, you will need to present your identity card or passport to the security.
