Gold-mining stocks, risk factors, and tail patterns*

作者：Qin, Yiyi^*; Cai, Jun; Wang, James J. D.; Webb, Robert I.

来源：Journal of International Financial Markets Institutions & Money, 2023, 88: 101823.

DOI：10.1016/j.intfin.2023.101823

• Gold-mining stocks
• Exceedance
• Co-exceedance
• Risk factors
• Upper and lower tails

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.

• 单位
  西南财经大学