A multifactor model of gold industry stock returns: Evidence from the Australian equity market

Robert Faff*, Howard Chan

*Corresponding author for this work

Research output: Contribution to journalArticleResearchpeer-review

43 Citations (Scopus)

Abstract

The empirical literature suggests that several different variables are potentially important in explaining the return on gold stocks beyond that of a market factor. The primary aim of this paper is to examine the empirical performance of a specification which incorporates into one multifactor model three such variables - gold prices, interest rates and foreign exchange rates. This paper applies this model to the return of gold stocks in the Australian equity market over the period 1979 to 1992. Contrary to other studies which have examined incomplete specifications relative to this framework, we find that the only variables of significant explanatory power are the market and gold price factors. Consequently, this has important implications for studies which examine the pricing behaviour of gold industry stocks.

Original languageEnglish
Pages (from-to)21-28
Number of pages8
JournalApplied Financial Economics
Volume8
Issue number1
DOIs
Publication statusPublished - 1998
Externally publishedYes

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