Oil price shocks and stock market anomalies

This paper provides a novel perspective to the nexus of oil prices and stock markets by examining impact price shocks on market anomalies. After decomposing into three types , we find that aggregate demand have strongest influence In contrast, supply oil-specific little impact. Similar results are also found in industry analysis. Interestingly, link between anomalies is among firms with either small size or high idiosyncratic risks. The documented effects robust after controlling for investor sentiment as well several well-known macroeconomic factors. Our findings consistent but extend sentiment-based explanation show uncertainty plays role explaining