Real Optionality in Gold Operations. An investigation of Gold Exposure, Asymmetries and Excess Returns

摘要

This thesis examines the gold beta exposure and the usage of real options for 52listed gold companies in North America between 1997 and 2014. Building on priorresearch we develop a model that includes a larger set of control variables, thismodel show that earlier research has su ered from underspeci cation leading tobiases. Standard errors are drastically reduced by more e cient use of the returndata. The results show that the gold beta varies largely over time but that an invest-ment in gold companies has on average a gold beta above one. Additionally, we ndevidence of asymmetries in the returns due to the usage of real options. The returnasymmetries are also shown to vary across companies and over time. Prior workhas suggested that it would be better to invest in gold mining companies comparedto a direct investment in gold due to the real optionality. To test this statementa performance evaluation is conducted to conclude whether greater asymmetry isassociated with higher risk-adjusted returns. The results indicate that stocks withgreater asymmetry have provided investors with higher risk-adjusted returns.