The effect of CEO public behaviour on the company’s valuation: the case of Tesla and Elon Musk

This paper evaluates the hypothesis that CEO public behaviour affects the value of their fi rm’s financial assets by considering the case of Tesla and Elon Musk. Our study period, spanning from mid-October to early December 2023, is defined by several events involving Tesla as a company and public controversies by its CEO, Elon Musk. In this period, Tesla had its earnings call for the third quarter and experienced its first strike; meanwhile, Elon was involved in controversies over antisemitic and erratic behaviour. Therefore, this period allows us to evaluate the effect that the latter source of information, namely his public statements on topics not related to Tesla, has on Tesla’s valuation. Our analysis uses high-frequency data, as the short time between these events makes the traditional event study analysis inefficient. We consider two tests on the log returns of Tesla: the price jump test proposed by Lee and Mykland (LM) and the test for jumps in volatility defined by Barndorff-Nielsen and Shephard (BNS). We find evidence of jumps in both the price process and volatility following Elon Musk controversies, indicating that investors are aware of Elon Musk’s comments and consider these alternative data in the value of Tesla.