We study the effect that shocks to oil and stock prices have over the returns of the largest oil firms listed at the New York Stock Exchange. We found evidence of asymmetric effects, conditioning on a given quantile of the oil companies' stock return distributions. That is, both, shocks to the stock market and to crude oil prices, induce effects of opposite signs on the lower and upper quantiles of the returns of oil firms, and they tend to be non-significant on the median of the daily return distributions. We also document asymmetries among the reactions of oil companies' prices to the two shocks, which are more pronounced and last longer in the case of the stock market, compared to crude oil. Overall we provide evidence in favor of economically and statically significant risk spillovers, from oil and stock markets to energy firms, which last typically between one a three days.