1 option
Fracking, Drilling, and Asset Pricing: Estimating the Economic Benefits of the Shale Revolution / Erik Gilje, Robert Ready, Nikolai Roussanov.
- Format:
- Book
- Author/Creator:
- Gilje, Erik.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w22914.
- NBER working paper series no. w22914
- Language:
- English
- Physical Description:
- 1 online resource: illustrations (black and white);
- Other Title:
- Fracking, Drilling, and Asset Pricing
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 2016.
- Summary:
- We quantify the effect of a significant technological innovation, shale oil development, on asset prices. Using stock returns on major news announcement days allows us to link aggregate stock price fluctuations to shale technology innovations. We exploit cross-sectional variation in industry portfolio returns on days of major shale oil-related news announcements to construct a shale mimicking portfolio. This portfolio can explain a significant amount of variation in aggregate stock market returns, but only during the time period of shale oil development, which begins in 2012. Our estimates imply that $3.5 trillion of the increase in aggregate U.S. equity market capitalization since 2012 can be explained by this mimicking portfolio. Similar portfolios based on major monetary policy announcements do not explain the positive market returns over this period. We also show that exposure to shale oil technology has significant explanatory power for the cross-section of employment growth rates of U.S. industries over this period.
- Notes:
- Print version record
- December 2016.
The Penn Libraries is committed to describing library materials using current, accurate, and responsible language. If you discover outdated or inaccurate language, please fill out this feedback form to report it and suggest alternative language.