In this paper we investigate the impact of changes in proved reserves on U.S. stock returns using firm level data of the largest U.S. oil and gas companies. The selected sample covers the period 2009 to 2018 incorporating the recent episode of the shale oil and gas revolution. In contrast to previous studies, our results show that changes in proved oil and gas reserves have no significant effect on stock returns. We also give evidence of the impact of reserves on financial returns being dependent on the level of oil prices. Since oil prices fell abruptly after 2014, we show a significantly lower effect of oil reserves in stock returns in this subperiod and, thus, partly explain the overall insignificant effect. (C) 2020 Elsevier B.V. All rights reserved.