Data for: Predicting stock returns using crude oil prices: A firm level analysis of Nigeria’s oil and gas sector

SP = Company's share price
TBR = Average primary market T/bill rates
BRENT = Brent oil price
WTI = West Texas Intermediate price
LBRENT = Natural log of Brent price
DLBRENT = First Difference of LBRENT
PBR = Term for positive changes for BRENT
NBR = Term for negative changes for BRENT
LWTI = Natural log of WTI
DLWTI = First Difference of LWTI
PW = Term for positive changes in WTI
NW = Term for negative changes in WTI