Gold, platinum, and industry stock returns

Quynh Thi Thuy Pham and Markus Rudolf

International Review of Economics & Finance, 2021, vol. 75, issue C, 252-266

Abstract: This paper extends the work of Huang and Kilic (2019) by examining whether the ratio of gold to platinum prices (GP) leads United States industry stock returns in-sample and out-of-sample over short and intermediate horizons. Using monthly data from 1975 to 2019, we find that GP predicts cyclical industry excess returns better than defensive industry excess returns. The one-month out-of-sample forecast by GP is weak but economically meaningful for mean-variance investors. As an illustration, a one-month GP-based trading strategy generates an average certainty equivalent return that is approximately 2.4% p. a. higher than the buy-and-hold strategy across all industries.

Keywords: Stock return predictability; Industry portfolios; Gold-to-platinum (search for similar items in EconPapers)
JEL-codes: C58 E20 G11 G12 (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:reveco:v:75:y:2021:i:c:p:252-266

DOI: 10.1016/j.iref.2021.04.002

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