We examine the impact of changes in the oil returns and oil return volatility on excess stock returns and return volatilities of thirteen U.S. industries using the GARCH (1,1) technique. We find strong evidence in support of the view that oil price fluctuations constitute a systematic asset price risk at the industry level as nine of the thirteen sectors analyzed show statistically significant relationships between oil-futures return distribution and industry excess return. These industries are affected either by oil futures returns, oil futures return volatility or both. In general, excess returns of the oil-user industries are more likely to be affected by changes in the volatility of oil returns, than those of oil return itself. Volatilities of industry excess returns are time-varying, and return volatility for a number of sectors, appears to have long memory. Fama–French factors show universal statistical and high economic significance as risk factors influencing industry excess returns.