Gold factor exposures in international asset pricing

The purpose of this paper is to examine the role of gold in modern international asset pricing. We find that although the real premium on gold has been negative since the beginning of the 1980s, many industries still have a significant exposure to the commodity. Moreover, this exposure is stable and consistent over the 20 years of the study. Asset pricing tests reject the null hypothesis that the market and gold factor exposure of the world's industries are jointly equal to 0, providing fresh evidence that gold still retains its importance in today's economy.