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Gold-mining stocks, risk factors, and tail patterns

Author

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  • Qin, Yiyi
  • Cai, Jun
  • Wang, James J.D.
  • Webb, Robert I.

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.

Suggested Citation

  • Qin, Yiyi & Cai, Jun & Wang, James J.D. & Webb, Robert I., 2023. "Gold-mining stocks, risk factors, and tail patterns," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 88(C).
    • Handle: RePEc:eee:intfin:v:88:y:2023:i:c:s1042443123000914
    DOI: 10.1016/j.intfin.2023.101823
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