The determinants of stock price exposure: Financial engineering and the gold mining industry

• 成果类型: Article
• 署名作者: Tufano, P
• 署名单位: Harvard University
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/0022-1082.00042
• 发表日期: 1998
• 页码: 1015-1052
• 关键词: INTEREST-RATE RISK; OPTION; valuation; SUBJECT; returns; SHARES

摘要

This paper studies the exposure of North American gold mining firms to changes in the price of gold. The average mining stock moves 2 percent for each 1 percent change in gold prices, but exposures vary considerably over time and across firms. As predicted by valuation models, gold firm exposures are significantly negatively related to the firm's hedging and diversification activities and to gold prices and gold return volatility, and are positively related to firm leverage. Simple discounted cash flow models produce useful exposure predictions but they systematically overestimate exposures, possibly due to their failure to reflect managerial flexibility.