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Do Investors Learn? Evidence from a Gold Market Anomaly

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  • McQueen, Grant
  • Thorley, Steven

Abstract

This study finds evidence that supports the investor learning hypothesis using data from the gold market. Consistent with conventional wisdom, the prior returns on an equally-weighted portfolio of gold-producing stocks are found to predict gold returns. However, the predictive power is shown to have diminished since the first public discussion of the anomaly, a finding consistent with the investor learning hypothesis. Copyright 1997 by MIT Press.

Suggested Citation

  • McQueen, Grant & Thorley, Steven, 1997. "Do Investors Learn? Evidence from a Gold Market Anomaly," The Financial Review, Eastern Finance Association, vol. 32(3), pages 501-525, August.
    • Handle: RePEc:bla:finrev:v:32:y:1997:i:3:p:501-25
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    Cited by:

    1. Rachel Geoffroy & Heemin Lee, 2021. "The Role of Academic Research in SEC Rulemaking: Evidence from Business Roundtable v. SEC," Journal of Accounting Research, Wiley Blackwell, vol. 59(2), pages 375-435, May.
    2. Domian, Dale L. & Louton, David A. & Mossman, Charles E., 1998. "The rise and fall of the "Dogs of the Dow"," Financial Services Review, Elsevier, vol. 7(3), pages 145-159.
    3. O'Connor, Fergal A. & Lucey, Brian M. & Batten, Jonathan A. & Baur, Dirk G., 2015. "The financial economics of gold — A survey," International Review of Financial Analysis, Elsevier, vol. 41(C), pages 186-205.
    4. Lim, Youngdeok & Kim, Hyungtae, 2019. "Market reaction to optimistic bias in the recommendations of chaebol-affiliated analysts," Journal of Contemporary Accounting and Economics, Elsevier, vol. 15(2), pages 224-242.

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