In the current economic context corporate reputation is considered as a strategic asset through which companies can create economic value. Reputation can be conceived as the system of stakeholders’ perceptions and expectations towards a company while reputational risk can be defined as the risk of suffering damages to reputation after negative events. When corporate reputation is damaged or altered, severe negative consequences, such as the loss of customers and investors, may happen to the company. The objective of our work is to develop a quantitative approach for the measurement of reputational risk in the electric utility industry, focusing on the stock market and web reactions to negative events. By stock market reaction we mean share value losses, by web reaction we mean surplus volumes of searches on Google and surplus activity on Twitter regarding the company. 15 listed electric utilities were taken into consideration. 508 negative events were identified, through a search in LexisNexis, in a time window from the 30 of September 2008 to the 30 of September 2013. Local regression models which estimate the anomalous behavior of shares and web metrics after an event took place were developed in order to evaluate the impact of the single events. Afterward, ANOVA models were developed in order to understand which were the categories of events with higher impacts. The results show an average 0.95% share value loss, an average 16% Google searches surplus and an average 590% Twitter activity surplus after any reputational event. Moreover, the involved business area resulted to be the most discriminating factor of the level of the impacts on both the share value and web metrics. The most impacting business categories vary according to each society taken into consideration.
Nell’attuale contesto economico la reputazione aziendale è considerata un asset strategico attraverso cui l’impresa può generare valore. La reputazione può essere definita come il sistema di aspettative ed esperienze degli stakeholders nei confronti di um’impresa e il rischio reputazionale come il rischio di vedere la propria reputazione danneggiata in seguito ad eventi negativi. Se la reputazione viene danneggiata, l’impresa può subire severe conseguenze, come la perdita di clienti e investitori. Questa tesi ha l’obiettivo di sviluppare un approccio quantitativo per la misura del rischio reputazionale nel settore elettrico focalizzandosi sulla reazione del mercato azionario e del web in seguito ad eventi negativi. Per reazione del mercato si intende perdita del valore azionario, per reazione web si intende l’aumento di volume delle ricerce su Google e aumento dell’attività su Twitter. Sono state considerate 15 società quotate, operanti nel settore elettrico, per le quali sono stati individuati, attraverso una ricerca su LexisNexis, 508 eventi negativi in un intervallo temporale che va dal 30 settembre 2008 al 30 settembre 2013. Per valutare l’impatto dei singoli eventi sono stati sviluppati dei modelli di regressione locali che stimano il comportamento anomalo delle azioni e delle metriche web in seguito ad ogni evento reputazionale. In seguito sono stati sviluppati dei modelli ANOVA al fine di comprendere quali fossero le categorie di eventi maggiormente impattanti. I risultati mostrano una perdita media dell’0.95% del valore azionario, una surplus medio del 16% delle ricerche su Google e un surplus di attività del 590% su Twitter in seguito ad un evento negativo. Inoltre è risultato che l’area di business coinvolta è la più discriminante del livello di impatto sia per quanto riguarda il valore di mercato sia per quanto riguarda le web metrics. Le categorie di business maggiormente impattanti variano a seconda della società coinvolta.
Measuring reputational risk in electric utilities : a quantitative analysis of the stock market and Web reactions to negative events
CAZZANIGA, NICHOLAS PAOLO;D'ETTOLE, STEFANO
2012/2013
Abstract
In the current economic context corporate reputation is considered as a strategic asset through which companies can create economic value. Reputation can be conceived as the system of stakeholders’ perceptions and expectations towards a company while reputational risk can be defined as the risk of suffering damages to reputation after negative events. When corporate reputation is damaged or altered, severe negative consequences, such as the loss of customers and investors, may happen to the company. The objective of our work is to develop a quantitative approach for the measurement of reputational risk in the electric utility industry, focusing on the stock market and web reactions to negative events. By stock market reaction we mean share value losses, by web reaction we mean surplus volumes of searches on Google and surplus activity on Twitter regarding the company. 15 listed electric utilities were taken into consideration. 508 negative events were identified, through a search in LexisNexis, in a time window from the 30 of September 2008 to the 30 of September 2013. Local regression models which estimate the anomalous behavior of shares and web metrics after an event took place were developed in order to evaluate the impact of the single events. Afterward, ANOVA models were developed in order to understand which were the categories of events with higher impacts. The results show an average 0.95% share value loss, an average 16% Google searches surplus and an average 590% Twitter activity surplus after any reputational event. Moreover, the involved business area resulted to be the most discriminating factor of the level of the impacts on both the share value and web metrics. The most impacting business categories vary according to each society taken into consideration.| File | Dimensione | Formato | |
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2014_04_Cazzaniga_D'Ettole.pdf
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https://hdl.handle.net/10589/91003