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Gold stocks, the gold price and market timing

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Gold stocks, the gold price and market timing. / ap Gwilym, Owain; Clare, Andrew; Seaton, James et al.
In: Journal of Derivatives and Hedge Funds, Vol. 17, 04.08.2011, p. 266-278.

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

HarvardHarvard

ap Gwilym, O, Clare, A, Seaton, J & Thomas, S 2011, 'Gold stocks, the gold price and market timing', Journal of Derivatives and Hedge Funds, vol. 17, pp. 266-278. https://doi.org/10.1057/jdhf.2011.16

APA

ap Gwilym, O., Clare, A., Seaton, J., & Thomas, S. (2011). Gold stocks, the gold price and market timing. Journal of Derivatives and Hedge Funds, 17, 266-278. https://doi.org/10.1057/jdhf.2011.16

CBE

ap Gwilym O, Clare A, Seaton J, Thomas S. 2011. Gold stocks, the gold price and market timing. Journal of Derivatives and Hedge Funds. 17:266-278. https://doi.org/10.1057/jdhf.2011.16

MLA

ap Gwilym, Owain et al. "Gold stocks, the gold price and market timing". Journal of Derivatives and Hedge Funds. 2011, 17. 266-278. https://doi.org/10.1057/jdhf.2011.16

VancouverVancouver

ap Gwilym O, Clare A, Seaton J, Thomas S. Gold stocks, the gold price and market timing. Journal of Derivatives and Hedge Funds. 2011 Aug 4;17:266-278. doi: 10.1057/jdhf.2011.16

Author

ap Gwilym, Owain ; Clare, Andrew ; Seaton, James et al. / Gold stocks, the gold price and market timing. In: Journal of Derivatives and Hedge Funds. 2011 ; Vol. 17. pp. 266-278.

RIS

TY - JOUR

T1 - Gold stocks, the gold price and market timing

AU - ap Gwilym, Owain

AU - Clare, Andrew

AU - Seaton, James

AU - Thomas, Stephen

PY - 2011/8/4

Y1 - 2011/8/4

N2 - 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

AB - 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

U2 - 10.1057/jdhf.2011.16

DO - 10.1057/jdhf.2011.16

M3 - Article

VL - 17

SP - 266

EP - 278

JO - Journal of Derivatives and Hedge Funds

JF - Journal of Derivatives and Hedge Funds

SN - 1753-9641

ER -