Regulations are oftentimes introduced, or reformed, in response to unanticipated changes in market forces. For example, in late 1973 OPEC quadrupled the world price of oil and U.S. policy-makers responded by imposing oil price regulation. This fact poses a fundamental problem of interpretation for studies which use stock prices to identify the economic effects of regulation. What portion of the capital gains or losses experienced by investors in regulated firms is due to regulation, and what portion is due to unanticipated economic events? This paper addresses this question by using micro-economic theory to derive hypotheses about how the capital gains and losses from OPEC and oil regulation are related to the underlying characteristics of petroleum firms. The hypotheses are tested by integrating a model of firm -specific abnormal returns into standard market models of stock returns earned by investors in petroleum firms. The estimated coefficients are consistent with micro-economic theory, and comparison with other methods illustrates that there are substantial payoffs from integrating into one's analysis more detailed economic knowledge of regulated firms than is found in simple classification schemes, such as those based on Standard Industrial Classification (SIC) industry definitions.