Econometric Analysis of Market Responses to Corporate Reports of a Multinational Gold Producer
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Authors
Semkowich, Paul
Date
Type
thesis
Language
eng
Keyword
Event Study , Corporate Social Responsibility , SEDAR , Corporate Disclosures , Technology and Innovation , Econometrics , Gold Mining Company
Alternative Title
Abstract
This thesis explores the advances to mandatory corporate disclosures and reporting systems since 1996, including the growing prevalence of optional reporting in Corporate Social Responsibility (CSR) and Technology and Innovation (T&I), specifically by the gold sub-industry which has increased year-over-year. Many multinational mining corporation executive officers preach that this optional reporting generates greater value for shareholders and is critical to corporate success. This research explores whether this claim is supported by market data on regulated trading platforms.
While the social benefits of a strong company-community relationship are immeasurable, the value can be contextualized through econometric techniques which quantify market reactions to various types of corporate disclosures. A custom event study model was built and tested on a case study of a major multinational gold producer. This case study quantified the economic value of mandatory corporate disclosures and evaluated them relative to optional reports. The methodology used benchmarks the company’s equity price to a reconstructed variant of the "NYSE Arca Gold BUGS" (HUI) Index and calculates the abnormal returns for all corporate disclosures. Each abnormal return is then categorized into a performance indicator category (production, financial, corporate, technical), and a T&I or CSR category. Finally, statistical analysis and sentiment analysis determine any economic impacts and trends.
Disclosure system shortcomings are discussed along with recommendations provided on improving electronic disclosure systems, from both a policy and practical perspective. Potential further applications of this custom model include stock price prediction given corporate disclosures as an input, anomalous trading behaviour identification for regulatory tools, and communicating social value on equity valuation to corporate board executives.
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Queen's University's Thesis/Dissertation Non-Exclusive License for Deposit to QSpace and Library and Archives Canada
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Intellectual Property Guidelines at Queen's University
Copying and Preserving Your Thesis
This publication is made available by the authority of the copyright owner solely for the purpose of private study and research and may not be copied or reproduced except as permitted by the copyright laws without written authority from the copyright owner.
CC0 1.0 Universal
ProQuest PhD and Master's Theses International Dissemination Agreement
Intellectual Property Guidelines at Queen's University
Copying and Preserving Your Thesis
This publication is made available by the authority of the copyright owner solely for the purpose of private study and research and may not be copied or reproduced except as permitted by the copyright laws without written authority from the copyright owner.
CC0 1.0 Universal