Gold factor exposures in international asset pricing

Davidson, S, Faff, R and Hillier, D 2003, 'Gold factor exposures in international asset pricing', Journal of International Financial Markets, Institutions and Money, vol. 13, no. 3, pp. 271-289.


Document type: Journal Article
Collection: Journal Articles

Title Gold factor exposures in international asset pricing
Author(s) Davidson, S
Faff, R
Hillier, D
Year 2003
Journal name Journal of International Financial Markets, Institutions and Money
Volume number 13
Issue number 3
Start page 271
End page 289
Total pages 18
Publisher Elsevier
Abstract The purpose of this paper is to examine the role of gold in modern international asset pricing. We find that although the real premium on gold has been negative since the beginning of the 1980s, many industries still have a significant exposure to the commodity. Moreover, this exposure is stable and consistent over the 20 years of the study. Asset pricing tests reject the null hypothesis that the market and gold factor exposure of the world's industries are jointly equal to 0, providing fresh evidence that gold still retains its importance in today's economy.
Subject Financial Economics
DOI - identifier 10.1016/S1042-4431(02)00048-3
Copyright notice Copyright © 2002 Elsevier Science B.V. All rights reserved.
ISSN 1042-4431
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