Appendices Appendix 1: List of the Companies

Appendices

Appendix 1: List of the Companies

Company Name Type Company Name Type Company Name Type

1 Amerada Hess Corp. Producer 33 GlobalSanteFe Corp. Equipment &Service 65 Petroquest Energy, Inc. Producer 2 Anadarko Petroleum

Corp. Producer 34 Grant Prideco, Inc.

Equipment &Service 66

Pioneer Natural

Resources Co. Producer 3 Apache Corp. Producer 35 Harvest Natural

Resources, Inc. Producer 67

Pogo Producing Co. Producer 4 Atlas Pipeline Partners, L.P. Equipment &Service 36 The Houston

Exploration Co. Producer 68

Penn Virginia

Corp. Producer

5 Berry Petroleum Co. Producer 37 Halliburton Co. Equipment &Service 69 Plains All American Pipeline, L.P. Equipment &Service

6 Baker Hughes Inc. Equipment &Service 38

Hanover Compressor Co.

Equipment

&Service 70 Parker Drilling Co.

Equipment &Service 7 Buckeye Partners LP. Equipment

&Service 39 Input Output Inc.

Equipment &Service 71

Quicksilver

Resources Inc. Producer 8 Cabot Oil & Gas

Corp. Producer 40 KCS Energy Inc. Producer 72

Range Resources

Corp. Producer 9 Callon Petroleum Co. Producer 41 Kerr McGee Corp. Producer 73 Remington Oil &

Gas Corp. Producer

10 Chesapeake Energy Corp. Producer 42 Kinder Morgan Energy Partners L.P. Equipment &Service 74 Rowan Companies Inc. Equipment &Service 11 Comstock Resources Inc. Producer 43 Kinder Morgan Inc. Equipment &Service 75 RPC Inc. Equipment &Service 12 Chevron Corp. Producer 44 Kinder Morgan

Management, LLC

Equipment &Service 76

Southwestern

Energy Co. Producer 13 ConocoPhillips Producer 45 Lone Star

Technologies, Inc.

Equipment &Service 77

St. Mary Land &

Exploration Co. Producer 14 CARBO Ceramics

Inc.

Equipment &Service 46

Mcmoran

Exploration Co. Producer 78 Stone Energy Corp Producer 15 Cooper Cameron

Corp.

Equipment &Service 47

Merdian Resource

Corp. Producer 79 Sunoco Inc. Producer 16 Denbury Resources

Inc. Producer 48

Marathon Oil

Coporation Producer 80 Swift Energy Co. Producer 17 Devon Energy Corp. Producer 49 Murphy Oil Corp. Producer 81 Schlumberger

Limited

Equipment &Service 18 Dynegy Inc. Producer 50 MAVERICK

19 Diamond Offshore Drilling Inc. Equipment &Service 51 McDermott International, Inc. Equipment &Service 83 Smith International Inc. Equipment &Service

20 Dril-Quip, Inc. Equipment &Service 52

Magellan Midstream Partners, L.P.

Equipment

&Service 84 Tesoro Corp. Producer

21 Encore Acquisition

Corp. Producer 53

Newfield

Exploration Co. Producer 85

Tetra Technologies Inc.

Equipment &Service 22 Energy Partners, Ltd. Producer 54 Noble Energy, Inc. Producer 86 Transocean Inc. Equipment &Service 23 EOG Resources, Inc. Producer 55 Nabors Industries

Ltd. Equipment &Service 87 Teppco Partners LP Equipment &Service 24 Exxon Mobil Corp. Producer 56 NATCO Group,

Inc.

Equipment

&Service 88 Unit Corp.

Equipment &Service 25 Ensco International Inc. Equipment &Service 57 National Oilwell Varco, Inc. Equipment &Service 89 Universal Compression Holdings, Inc. Equipment &Service

26 El Paso Corp. Equipment &Service 58 Newpark Resources Inc. Equipment &Service 90 Valero Energy Corp. Producer 27 Enbridge Energy Partners, L.P. Equipment

&Service 59 Noble Corp.(New)

Equipment &Service 91 W&T Offshore, Inc. Producer 28 Enterprises Products Partners L.P. Equipment &Service 60 Northern Border Partners Lp. Equipment &Service 92 Western Gas

Resources, Inc. Producer 29 Forest Oil Corp. Producer 61 Occidental

Petroleum Corp. Producer 93

W-H Energy Services, Inc.

Equipment &Service 30 Frontier Oil Corp. Producer 62 Oceaneering

International Inc. Equipment &Service 94 Weatherford International Ltd. Equipment &Service 31 Giant Industries Inc. Producer 63 Oil States

International, Inc. Equipment &Service 95 Williams Companies Inc. Equipment &Service 32 Goodrich Petroleum

Corp. Producer 64 OGE Energy Corp.

Equipment

Appendix 2: Construction of Simulated Fama & French Control Factors:

The 16 E/P-BE/ME stock portfolios are constructed by simulating Fama & French (1992)’s

SMB and HML control factors. At the beginning of January of each year t (2002-2005), all

Oil & Gas firms listed on NYSE are ranked by their Book-to-Market Ratio (or BE/ME) at the

end of December of year t-1 and the breakpoints are set for the highest quarter (25%), second

highest quarter(25%), second lowest quarter (25%) and lowest quarter (25%). Stocks are then

allocated to four BE/ME groups. Similarly, the Oil firms are ranked by their Earning-to-Price

Ratio (or E/P) at year t-1 and then allocated to four E/P groups from the lowest quarter (small

earner) to the highest quarter (big earner). The 16 E/P-BE/ME stock portfolios are defined as

the intersections of the four BE/ME and the four E/P groups. For instance, the B/H portfolio

consists of the stocks in the big-E/P group that also belong to high-BE/ME group and the S/L

portfolio consists of the stocks in the small-E/P group that are also have low-BE/ME. The oil

firms will be re-ranked at the end of year t based on their E/P and BE/ME.

Value-weighted weekly returns on the portfolios are calculated from January to December of

year t. SMB is the difference, each week, between the average of the returns on the four

small-E/P portfolios and the average of the returns on the four big-E/P portfolios. HML is the

difference between the average of the returns on the four high-BE/ME portfolios and the

average of the returns on the four low- BE/ME portfolios.

BE/ME is the reciprocal of the Book-to-Market

Ratio provided by DATASTREAM. BE is the

book value of stockholders’ equity, plus deferred taxes, minus the book value of preferred

stock. E in E/P (earning/price) is the earning before extraordinary items but after interest,

depreciation, taxes, and preferred dividend. Both BE and E are calculated for the fiscal year

ending at 31

December of calendar year t-1. ME and P in both ratios are the stock price times

shares outstanding at the end of December of t-1. We exclude the firms which have fiscal year

doesn’t end at 31

December of calendar year.