This paper takes a look at the determinants of oil and gas sector returns for US and Canadian companies. We examine returns during the period of 2001 to 2013 using a multifactor model to determine significant return factors. Our model incorporates both macro factors as well as firm specific micro factors. We also incorporate an analysis of the effect of the financial crisis on returns. Finally we briefly examine hedging in this sector and determine through our model if firms hedge against oil and gas price fluctuations. Our results suggest that profit margin and price to book ratio are positively related to oil and gas stock’s returns, while book leverage is negatively related with stocks’ returns. Market capitalization does not have any effect on stocks’ return. In terms of macro variables, the returns are positively linked with the market return, oil price and gas price, and negatively with GDP, interest rate, Crisis and, for Canadian companies, exchange rate
