Post by Sapphire Capital on Jul 11, 2008 22:04:53 GMT 4
Commodity Price Exposure and Ownership Clienteles
PHIL DAVIES
University of Iowa - Department of Finance
BERNADETTE MINTON
Ohio State University
CATHERINE M. SCHRAND
University of Pennsylvania - Accounting Department
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March 2008
Abstract:
This paper examines the association between commodity price exposure and investor interest for firms in two commodity-based industries: Gold Mining, and Oil and Gas Exploration. Investors, on average, are attracted to commodity price exposure. Using market-based measures of commodity price exposure, there is robust evidence that commodity stocks with high commodity price exposures have higher turnover and a larger number of institutional investors than commodity stocks with low exposures. We partition the sample both by type of investor and by the degree of transparency of the firm's commodity price exposure. The results of these additional analyses suggest that investors in gold stocks are attracted to commodity price exposure because of the transparency it provides, while investors in oil and gas stocks are attracted to high exposure stocks because they want exposure to the underlying commodity.
papers.ssrn.com/sol3/Delivery.cfm/SSRN_ID1116808_code27768.pdf?abstractid=1106479&mirid=3
PHIL DAVIES
University of Iowa - Department of Finance
BERNADETTE MINTON
Ohio State University
CATHERINE M. SCHRAND
University of Pennsylvania - Accounting Department
--------------------------------------------------------------------------------
March 2008
Abstract:
This paper examines the association between commodity price exposure and investor interest for firms in two commodity-based industries: Gold Mining, and Oil and Gas Exploration. Investors, on average, are attracted to commodity price exposure. Using market-based measures of commodity price exposure, there is robust evidence that commodity stocks with high commodity price exposures have higher turnover and a larger number of institutional investors than commodity stocks with low exposures. We partition the sample both by type of investor and by the degree of transparency of the firm's commodity price exposure. The results of these additional analyses suggest that investors in gold stocks are attracted to commodity price exposure because of the transparency it provides, while investors in oil and gas stocks are attracted to high exposure stocks because they want exposure to the underlying commodity.
papers.ssrn.com/sol3/Delivery.cfm/SSRN_ID1116808_code27768.pdf?abstractid=1106479&mirid=3