Gold-mining stocks, risk factors, and tail patterns

Research output: Journal Publications and ReviewsRGC 21 - Publication in refereed journalpeer-review

2 Scopus Citations
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Original languageEnglish
Article number101823
Journal / PublicationJournal of International Financial Markets, Institutions and Money
Volume88
Online published24 Aug 2023
Publication statusPublished - Oct 2023

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