Gold stocks, the gold price and market timing

Owain ap Gwilym; Andrew Clare; James Seaton; Stephen Thomas

doi:10.1057/jdhf.2011.16

Gold stocks, the gold price and market timing

Owain ap Gwilym
, Andrew Clare
, James Seaton
, Stephen Thomas

The Albert Gubay Business School

City University of London

Research output: Contribution to journal › Article › peer-review

Abstract

We investigate the relationship between gold prices and gold equity index levels and consider whether this offers any explanatory power for the future returns of gold stocks. It is observed that a simple, well-specified model can explain movements in the stock prices of gold-producing firms. Using evidence from gold exchange-traded funds, we also show that investors’ market timing decisions have reduced their average returns from these instruments by over 1.5 per cent annually between 2005 and 2009

Original language	English
Pages (from-to)	266-278
Journal	Journal of Derivatives and Hedge Funds
Volume	17
DOIs	https://doi.org/10.1057/jdhf.2011.16
Publication status	Published - 4 Aug 2011

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10.1057/jdhf.2011.16

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abstract = "We investigate the relationship between gold prices and gold equity index levels and consider whether this offers any explanatory power for the future returns of gold stocks. It is observed that a simple, well-specified model can explain movements in the stock prices of gold-producing firms. Using evidence from gold exchange-traded funds, we also show that investors{\textquoteright} market timing decisions have reduced their average returns from these instruments by over 1.5 per cent annually between 2005 and 2009",

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JO - Journal of Derivatives and Hedge Funds

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Gold stocks, the gold price and market timing

Abstract

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