Do Investors Learn? Evidence from a Gold Market Anomaly

Grant McQueen and Steven Thorley

The Financial Review, 1997, vol. 32, issue 3, 501-25

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.

Date: 1997
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