No. Not really.
However, cooking at high temperatures can damage an oil. The more omega 3 fatty acids in the oil, the less suitable it is for cooking (ie. flaxseed oil). The oils that are higher in saturated fats (which you want to avoid) or monounsaturated fats, including canola olive, peanut oil, are the most stable when heated.
Research was done at the University of Lethbridge to study how well canola oil withstood various cooking methods. It's important to note that the study was funded by the canola council.
The researchers found that baking did not alter the monounsaturated fats of the canola oil nor did it produce trans fats. They then stir fried at 195°C and at the oil's smoking point of 250°C, for 5 minutes each time. At both stir-frying temperatures, there was no significant development of trans fatty acids but heating canola oil to its smoke point reduced the amount of polyunsaturated fats (omega 3 and 6) due to oxidative degradation.
It is not recommended to heat oil above its smoke point, which is the temperature at which the oil begins to break down and forms free radicals that can be harmful to your health, ie. is a carcinogen. See the link below for the smoke points of different oils.
The researchers then replicating commercial deep-frying methods. During deep-frying in commercial operations, oils are used for much longer periods of time than stir-frying and baking. A standard frying temperature of 185°C and an extreme temperature of 225° C were tested. The researchers discovered that at the standard temperature of 185 degrees, there was negligible development of trans fatty acids and only slight loss of omega 3 fatty acid even after the oil reached the point at which it would be discarded due to loss of quality. At the extreme temperature, after 8 hours a day for 7 days, trans fatty acid levels increased slightly and the oil was significantly degraded.
Signs that an oil is degraded include: excessive darkening, foaming, and thickness, smoking, "Off" flavour and odour in fried food, greasiness/loss of crispness in fried food.