| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w22914 |
| 来源ID | Working Paper 22914 |
| Fracking, Drilling, and Asset Pricing: Estimating the Economic Benefits of the Shale Revolution | |
| Erik Gilje; Robert Ready; Nikolai Roussanov | |
| 发表日期 | 2016-12-12 |
| 出版年 | 2016 |
| 语种 | 英语 |
| 摘要 | 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. |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets ; Environmental and Resource Economics ; Energy |
| URL | https://www.nber.org/papers/w22914 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/580587 |
| 推荐引用方式 GB/T 7714 | Erik Gilje,Robert Ready,Nikolai Roussanov. Fracking, Drilling, and Asset Pricing: Estimating the Economic Benefits of the Shale Revolution. 2016. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w22914.pdf（1032KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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