文档介绍：Gold Prices, Exchange Rates, Gold Stocks
and the Gold Premium
by
Garry Twite †
Abstract:
This paper studies the exposure of the stock prices of Australian gold-mining firms
to changes in gold prices and the valuation effects of gold price exposure. Gold-
mining firms have significant gold price exposure; the price of the average gold-
mining stock moves % for each % change in Australian-dollar-denominated
gold prices. Evidence from the behaviour of stock price sensitivities suggests that
gold-mining firms can be represented as a portfolio of gold assets and embedded
real options. Simple discounted cash flow models systematically underestimate the
price of gold stocks. The evidence suggests that the valuation error is due to both the
failure of discounted cash flow models to reflect managerial flexibility that is
embedded in the operation of gold mines and the misuse of discounted cash flow
techniques.
Keywords:
GOLD STOCKS; GOLD PRICE; REAL OPTIONS.
† Australian Graduate School of Management, UNSW, Sydney, NSW 2052. Email:
******@
The author wishes to thank Doug Foster, Brad McBean, Kerry Pattenden, Tom Smith and Justin
Wood for their helpful discussion ments on this paper. This paper has benefited from the
ments and suggestions provided by seminar participants at the Australian Graduate
School of Management and the University of Melbourne.
Australian Journal of Management, Vol. 27, No. 2 December 2002, © The Australian Graduate School of Management
– 123 –
AUSTRALIAN JOURNAL OF MANAGEMENT December 2002
1. Introduction
irms routinely analyse investment opportunities, which include opportunities to
F invest in real assets under potentially favourable conditions at some future
point in time. These investment opportunities are called real options. For example,
the initial investment in research and development, exploration and access to new
markets. Equally true, analysts are requi