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This study presents evidence of a statistically significant negative correlation between crude oil and equities over the past 20 years. Including proper proportions of negatively correlated assets in a diversified portfolio can improve the ratio of reward relative to risk, and therefore, adding crude oil with equities into a diversified portfolio can provide superior portfolio performance, compared with equities alone. Because crude oil prices held stable for nearly a century before the oil crisis of 1973, and oil derivatives did not begin trading actively on public markets until the 1980s, the diversification value of oil is a relatively new phenomenon. Also contributing to the phenomenon, the majority of oil reserves and the majority of crude oil production capacity worldwide are held by entities that are not traded in public equity markets, and therefore, the diversification benefits of oil cannot be fully realized by holding a portion of the global market portfolio of equities.

Previous studies show that crude oil is negatively correlated with stocks but has almost the same rate of return as stocks, and so adding crude oil into a portfolio with equities can provide significant diversification benefits for the portfolio. Given the diversification benefit of crude oil mixed with equities, we examine the value effect of crude oil derivatives transactions by oil and gas producers. Differing from traditional corporate risk management literature, this study examines corporate derivatives transactions from the shareholders' diversification perspective. The results show that crude oil derivatives transactions by oil and gas producers do impact value. If oil and gas producing companies stop shorting crude oil derivatives contracts, company stock prices increase significantly. In contrast, if oil and gas producing companies initiate short positions in crude oil derivatives contracts, stock prices tend to drop (still significant, but less so). Thus, hedging by producers is not necessarily good. Transaction limitation is shown to be one of the possible sources of the value effect of corporate derivatives transactions.

We examine market response to changes in the annual “Dogs of the Dow” (DOD) portfolio. Specifically, we explore stock prices and trading volumes of the Dow stocks that are newly included into or excluded from the DOD portfolio. Although the historical performance of this popular dividend-driven investment strategy is subject to debate, our study focuses on investigating Harris and Gurel’s (1986) “noninformation-motivated demand shifts” in the sample of DOD additions and deletions. Utilizing standard event study methodology over the period 1996–2016, we find evidence that a Dow stock experiences a significant but temporary increase (decrease) in price when it is newly included into (excluded from) the DOD portfolio. Price reversals occur within one week of the reconstitutions. We also find that trading volumes temporarily increase following both index additions and deletions. The results support the price-pressure hypothesis as the DOD reconstitutions do not generally convey new information.

The issue of risk premium in commodity futures market has long been examined since Keynes’ (1930) normal backwardation hypothesis. We further examine the normal backwardation hypothesis in the gold futures market, using a Goldman Sachs Commodity Index (GSCI) approach. We find no evidence that risk premium exists in the gold futures market over the period 1980–2005. Finally, we provide further explanations as to why there is no risk premium in the gold futures market by investigating the actual gold futures positions taken by gold mining firms. We contend that lack of hedging activity by gold miners may explain the lack of risk premium in gold market.

The current volume in the Research in Finance series features an international set of contributors. The overall theme of the volume is a timely topic capturing one of the leading issues of the year: coping with “systemic” risk.

Corporate reputation is one of the key intangible assets of a company and is commonly influenced by negative posts on social media, such as customer complaints. Up to date, no known research investigates the pre- and post-social media crisis corporate social responsibility (CSR) practices on corporate reputation in the tourism context. This study addresses this research gap. The purpose of the study is to investigate the effects of CSR practices on corporate reputation in social media crises. The congruence of CSR practices was examined in this study in relation to social media crises using the stimulus–organism–response (SOR) theory.

An experimental vignette method was used. Respondents were randomly divided into four experimental groups and a control group. Data was collected from 435 respondents in Hong Kong through quota sampling, in which age and gender are control variables.

The findings indicated that social media crisis recovery needs CSR practices to restore the corporate image. CSR practices are more impactful immediately after, rather than before, a social media crisis. Furthermore, the business scope of the company should be taken in the planning and enforcement of CSR practices.

This study extends the situational crisis communication theory in social media crises by using CSR practices. The CSR practice provides a unique role in crisis management. It could belong to a bolstering category that can be used together with other corporate crisis responses. Corporations in the tourism industry increase their exposure to sustainability both within and beyond social media. This research shows that this can be effectively accomplished through CSR practices that are congruent with the tourism industry.

企业社会责任实践的时机和一致性对旅游业社交媒体危机的影响

企业声誉是公司的关键无形资产之一, 通常会受到社交媒体上负面帖子的影响, 例如客户投诉。迄今为止, 尚无已知研究调查社交媒体危机前和社交媒体危机后的企业社会责任实践对旅游企业声誉的影响。本研究解决了这一研究缺口。该研究的目的是调查企业社会责任实践对社交媒体危机中企业声誉的影响。本研究使用刺激-有机体-反应 (SOR) 理论检验了与社交媒体危机相关的企业社会责任实践的一致性。

使用实验性小插图方法。受访者被随机分为四个实验组和一个对照组。通过配额抽样从香港的 435 名受访者那里收集数据是, 其中年龄和性别是控制变量。

调查结果表明, 社交媒体危机恢复需要企业社会责任实践来恢复企业形象。企业社会责任实践在社交媒体危机之后立即产生影响, 而不是之前。此外, 在企业社会责任实践的规划和实施中应考虑公司的业务范围。

这项研究通过使用企业社会责任实践扩展了社交媒体危机中的情境危机传播理论。 CSR 实践在危机管理中发挥着独特的作用。它可能属于可以与其他企业危机应对措施一起使用的支持类别。旅游业公司在社交媒体对内和对外增加了对可持续性的曝光。我们的研究表明, 这可以通过与旅游业一致的企业社会责任实践有效地实现。