Gold-mining stocks, risk factors, and tail patterns

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

Journal of International Financial Markets, Institutions and Money, 2023, vol. 88, issue C

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.

Keywords: Gold-mining stocks; Exceedance; Co-exceedance; Risk factors; Upper and lower tails (search for similar items in EconPapers)
Date: 2023
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:intfin:v:88:y:2023:i:c:s1042443123000914

DOI: 10.1016/j.intfin.2023.101823

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