The Determinants of Stock Price Exposure: Financial Engineering and the Gold Mining Industry
研究北美黄金采矿企业股价对金价变化的敏感度，发现对冲、多元化、杠杆及金价波动等因素显著影响风险敞口，并指出折现现金流模型高估了实际暴露。
ABSTRACT 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.