Early　studies　of　oil　stocks　focus　exclusively　on　the　average　relationship　between　oil　price　changes　and　individual　stock　returns.　In　this　paper,　we　examine　how　the　tail　behavior　of　risk　factors　affects　the　tail　behavior　of　individual　oil　stock　returns.　We　consider　a　total　of　25　widely-used　risk　factors　from　the　asset　pricing　literature.　These　risk　factors　include　14　stock　market　factors,　three　bond　market　factors,　and　eight　commodity　market　factors.　We　find　that　the　excess　stock　market　return,　the　change　in　CBOE　aggregate　market　volatility　index,　the　commodity　market　index　return,　the　change　in　the　prices　of　oil　futures　contracts,　and　the　change　in　CBOE　oil　ETF　volatility　index　have　the　largest　impact　in　moving　oil　stocks　tail　returns.　©　2020　Elsevier　B.V.