Heat oil in a saucepan over medium heat. Add flour; cook 5 minutes or until lightly browned and fragrant, stirring constantly with a whisk. (If flour browns too quickly, remove pan from heat; stir constantly until it cools.)
Gradually add broth to pan, stirring constantly with a whisk. Stir in soy sauce and pepper; cook until thick (about 15 minutes), stirring frequently.