The Impact of Hedging on Stock Return and Firm Value: New evidence from Canadian Oil and Gas Companies. Working paper
Bibliographic record
Abstract
This paper analyzes the impact of hedging activities of large Canadian oil and gas companies on their stock return and firm value. Differing from the existing literature this research pays attention to the nonlinear payoffs of hedging, which may not be fully revealed in the traditional linear framework. By using generalized additive models, which is semi-parametric in nature and can accommodate potential nonlinear relationships, this research finds that the impacts of hedging are indeed nonlinear. The large Canadian oil and gas firms are able to hedge against downside induced by unfavorable oil and gas price changes. But oil hedging appears to be more effective than gas hedging in protecting the stock return when downside risk presents. In addition, oil and gas reserves tend to have a positive (negative) impact on stock returns when the oil and gas prices are increasing (decreasing). Finally, hedging, in particular hedging on gas, together with profitability and leverage, has significant impacts on firm value.
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How this classification was reachedexpand
Full frame machine prediction
Teacher imitationNot calibrated prevalence, not ground truth. Human validation pending. The Gemma side is a direct model label for every work in the frame, read from the title-only record. The Codex side is a classifier learned from the 10,348 direct Codex labels and calibrated to design-weighted sample rates; fields without enough sample support carry no Codex call. Candidate is the union of the two sides; consensus is their intersection. These outputs are machine_predicted_unvalidated and are not human labels.
Distilled classifier scores by category (both heads)
| Category | Codex | Gemma |
|---|---|---|
| Metaresearch | 0.001 | 0.007 |
| Meta-epidemiology (narrow) | 0.000 | 0.000 |
| Meta-epidemiology (broad) | 0.000 | 0.000 |
| Bibliometrics | 0.002 | 0.004 |
| Science and technology studies | 0.001 | 0.001 |
| Scholarly communication | 0.002 | 0.001 |
| Open science | 0.001 | 0.001 |
| Research integrity | 0.000 | 0.001 |
| Insufficient payload (model declined to judge) | 0.002 | 0.000 |
Machine scores (provisional)
The two teacher heads of the student model, read on this work. A score orders the frame for review; it never asserts a category, and the validation status ships verbatim with every row.
Baseline scores from an immature model (maturity gate not passed, 7 training rounds). Scores rank; they never assert a category.
score_only:v0-immature-baseline · verbatim from the scoring run: score_only means the number may rank works, and no category label ships from itClassification
machine, unvalidatedMachine predicted; a candidate call from one source (direct Gemma or distilled Codex), not a consensus.
How this classification was reached, model by model and score by score, is at the end of the page under "How this classification was reached".