Gold-mining stocks, risk factors, and tail patterns
Research output: Journal Publications and Reviews › RGC 21 - Publication in refereed journal › peer-review
Author(s)
Related Research Unit(s)
Detail(s)
Original language | English |
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Article number | 101823 |
Journal / Publication | Journal of International Financial Markets, Institutions and Money |
Volume | 88 |
Online published | 24 Aug 2023 |
Publication status | Published - Oct 2023 |
Link(s)
Abstract
The asset pricing literature typically focuses on the average relationship between risk factors and individual or portfolio stock returns. In the case of gold and gold-mining stocks, researchers report that gold-mining stocks are far more sensitive to gold returns than they are to stock market returns. In other words, gold-mining stocks behave more like gold than stocks. We examine how the tail behavior of a set of 25 widely used risk factors, including gold returns, affects the tail behavior of individual gold-mining stock returns. The evidence suggests that in their tail behavior, gold-mining stocks behave more like gold than they behave like common stocks. © 2023 Elsevier B.V.
Research Area(s)
- Co-exceedance, Exceedance, Gold-mining stocks, Risk factors, Upper and lower tails
Citation Format(s)
Gold-mining stocks, risk factors, and tail patterns. / Qin, Yiyi; Cai, Jun; Wang, James J.D. et al.
In: Journal of International Financial Markets, Institutions and Money, Vol. 88, 101823, 10.2023.
In: Journal of International Financial Markets, Institutions and Money, Vol. 88, 101823, 10.2023.
Research output: Journal Publications and Reviews › RGC 21 - Publication in refereed journal › peer-review