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The sensitivity of Australian industry equity returns to a gold price factor
Author(s) -
Chan Howard,
Faff Robert
Publication year - 1998
Publication title -
accounting and finance
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.645
H-Index - 49
eISSN - 1467-629X
pISSN - 0810-5391
DOI - 10.1111/1467-629x.00011
Subject(s) - economics , equity (law) , excess return , sign (mathematics) , econometrics , financial economics , sensitivity (control systems) , monetary economics , mathematics , geography , mathematical analysis , context (archaeology) , archaeology , engineering , electronic engineering , political science , law
This paper investigates the extra‐market sensitivity of Australian industry equity returns to a gold price factor over the period 1975 to 1994. We find, over the full sample period, that there has been a widespread sensitivity of Australian industry returns to gold price returns, over and above market returns. The sensitivity is found to be of positive sign for resource and mining sector industries, whereas it is of negative sign for the industrials sector. Further, there appears to be a change in importance of the gold price factor over time, as reflected by a comparison of subperiod gold price sensitivity estimates