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McCown, James Ross and Zimmerman, John R. "Is Gold a Zero-Beta Asset? Analysis of the Investment Potential of Precious Metals" Meinders School of business, Oklahoma City University (July 24, 2006).
Abstract: Gold shows the characteristics of a zero-beta asset. It has approximately the same mean return as a Treasury Bill and bears no market risk. Silver also bears no market risk but has returns inferior to Treasury Bills. Both gold and silver show evidence of inflation-hedging ability, with the case being much stronger for gold. The prices of both metals are cointegrated with consumer prices, showing additional evidence of hedging ability.
Titolo originale
Is Gold a Zero-Beta Asset? Investment Potential of Precious Metals
McCown, James Ross and Zimmerman, John R. "Is Gold a Zero-Beta Asset? Analysis of the Investment Potential of Precious Metals" Meinders School of business, Oklahoma City University (July 24,…