Figure 3 · Co-movement check · ExxonMobil vs Chevron

ExxonMobil and Chevron moved together — including on announcement day

Daily returns for ExxonMobil (rust) and Chevron (navy) across the eleven trading days bracketing the announcement. Ten of eleven days they moved the same direction (binomial p = 0.012). Whatever moved oil that week moved both firms in lockstep.

T0 T+3: only opposite day Both fall ≈1.6% +3.5% +2% 0 −2% −3.5% T−5 T−3 T−1 T0 T+1 T+3 T+5 ExxonMobil Chevron Trading days relative to the announcement
10 / 11
Days where ExxonMobil and Chevron moved the same direction
+0.13 pp
Day-0 raw difference (well inside ordinary trading-day variation)
0.012
Binomial p-value — the co-movement is itself statistically significant
Sources & methodology notes
Co-movement correlation over the event windowρ(RExxonMobil, RCVX) = Cov(RExxonMobil, RCVX) / (σExxonMobil · σCVX)
measured over t∈[−5,+5] trading days around the March 10, 2026 announcement. Binomial co-direction test: 10/11 same sign, p = 0.012.

This figure shows the simplest possible event-study lens: a head-to-head against the cleanest single peer comparator. ExxonMobil and Chevron are both U.S. integrated-major oil-and-gas firms with comparable market capitalization, factor exposure, and analyst-coverage characteristics. Their daily returns over the eleven-day announcement window are visualized below.

  1. Stephen J. Brown & Jerold B. Warner, Using Daily Stock Returns: The Case of Event Studies, 14 J. Fin. Econ. 3 (1985). Foundational empirical-event-study paper. Establishes the matched-pair research design used here.
  2. A. Craig MacKinlay, Event Studies in Economics and Finance, 35 J. Econ. Literature 13 (1997). Survey including the matched-pair variant; the market-model-adjusted differential is derived from MacKinlay’s framework.
  3. Donald J. Schuirmann, A Comparison of the Two One-Sided Tests Procedure and the Power Approach for Assessing the Equivalence of Average Bioavailability, 15 J. Pharmacokinetics & Biopharm. 657 (1987). Source of the TOST equivalence test reported alongside the matched-pair result: ±1.5 pp p = 0.044; ±2 pp p = 0.011; ±3 pp p = 0.0003.
  4. Shane Goodwin, Read the Fine Print: What ExxonMobil’s Proxy Actually Says About Texas Redomiciliation, Columbia Law School Blue Sky Blog (May 2026). Companion paper. Article fn. 26 reports: ExxonMobil Day-0 raw return −1.54%; Chevron −1.66%; raw differential +0.13 pp; market-model-adjusted differential +0.04 pp (SE 0.85 pp; t = 0.05; p = 0.958); wild-bootstrap p = 0.967.

Data attribution. Daily adjusted closing prices from S&P Capital IQ (IQ_CLOSEPRICE_ADJ feed) for ExxonMobil and Chevron over the [−5, +5] event window (March 3 to March 17, 2026).

Source: Author’s calculations from S&P Capital IQ daily adjusted closing prices; matched-pair methodology in Goodwin (May 2026) fn. 26.