 Can security analyst forecasts predict gold returns?George Mihaylov, Chee Seng Cheong and Ralf Zurbruegg International Review of Financial Analysis, 2015, vol. 41, issue C, 237-246 Abstract: This paper examines whether security analyst earnings forecasts for firms primarily operating in the gold market can be utilised to predict returns on the price of gold. We first demonstrate that analysts are at least in part basing their earnings forecasts for gold firms on the return expectations of the gold commodity market. We show this by providing evidence that analyst coverage impounds not only market-wide and industry information, but also gold price information for these firms — as measured via its impact on stock return synchronicity. We then examine if the difference between forecast and observed earnings for these firms has predictive value for changes in the price of gold whilst controlling for a number of macroeconomic factors. We find that this difference does hold predictive power, but also has some limitations. However, there is potential for it to be used as an additional variable within gold forecasting frameworks. Keywords: Gold price; Forecasting; Stock return synchronicity; Analyst coverage (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:finana:v:41:y:2015:i:c:p:237-246 DOI: 10.1016/j.irfa.2015.03.012 Access Statistics for this article International Review of Financial Analysis is currently edited by B.M. Lucey More articles in International Review of Financial Analysis from Elsevier |
Is your work missing from RePEc? Here is how to contribute.
Questions or problems? Check the EconPapers FAQ or send mail to .
EconPapers is hosted by the
School of Business at Örebro University.