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- W2253433410 abstract "This study directly quantifies the value that equity markets place on companies' gold hedging policies, and examines their interaction with gold's price. The paper first analyses the performance of two companies whose assets are virtually identical, but which have opposite hedging policies. It finds that shareholders do not place any permanent value on hedge policies, but vary the hedge premium and discount in response to changes in gold's price. The result is confirmed by event studies of abnormal returns around the announcement of changes to hedging policies which have only small, inconsistent and short-lived effects on share prices. The second part of the study examines influences on gold beta, and finds that - contrary to expectations - gold beta for large unhedged producers falls below 1 in periods of high and low gold prices. The study's conclusions challenge a number of assumptions in previous hedging analyses, and are only weakly supportive of the standard finance assumption that investments with intuitively higher risks bring higher returns." @default.
- W2253433410 created "2016-06-24" @default.
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- W2253433410 date "2007-01-01" @default.
- W2253433410 modified "2023-09-26" @default.
- W2253433410 title "The Price Shareholders Place on Risk" @default.
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- W2253433410 doi "https://doi.org/10.2139/ssrn.971285" @default.
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