Testing the significance of pricing factors of oil and gas companies

Abstract

Durante décadas, los combustibles fósiles han representado entre el 70 % y el 80 % de la demanda mundial de energía primaria. Este estudio analiza cuántos factores explican el comportamiento bursátil de las empresas de petróleo y gas en los subsectores upstream, midstream y downstream, y si el precio del Brent actúa como factor explicativo. Mediante un enfoque basado en la teoría de matrices aleatorias, se muestra que, durante determinados periodos, el Brent se convierte en el único factor que explica los movimientos de los subsectores upstream y midstream, mientras que durante la mayor parte del tiempo el único factor significativo es el mercado. En el subsector downstream no se identifican factores significativos, salvo en ciertos periodos. Los resultados ofrecen información relevante para inversores, directivos y responsables políticos.For decades, fossil fuels have accounted for 70% to 80% of global primary energy demand. This study examines how many factors explain the market performance of Oil and Gas companies across the upstream, midstream, and downstream subsectors, and whether the Brent price can be considered an explanatory factor. Using a novel approach based on Random Matrix Theory, the results show that Brent becomes the only factor explaining movements in the upstream and midstream subsectors during certain periods, whereas the market is the sole significant factor most of the time. No significant factors are identified for the downstream subsector except during specific periods. Through a purely statistical approach, the study identifies the factors explaining the cross-sectional expected returns of Oil and Gas companies and provides relevant information for investors, executives, and policymakers.