Is Gold a Zero-Beta Asset? Analysis of the Investment Potential of Precious Metals

McCown, James Ross; Zimmerman, John R.

doi:10.2139/ssrn.920496

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Is Gold a Zero-Beta Asset? Analysis of the Investment Potential of Precious Metals

23 Pages Posted: 27 Jul 2006

See all articles by James Ross McCown

James Ross McCown

University of Oklahoma - Division of Finance; Toltec Group

John R. Zimmerman

Oklahoma City University

Date Written: 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.

Keywords: gold, silver, inflation

JEL Classification: E31, G11

Suggested Citation: Suggested Citation

McCown, James Ross and Zimmerman, John R., Is Gold a Zero-Beta Asset? Analysis of the Investment Potential of Precious Metals (July 24, 2006). Available at SSRN: https://ssrn.com/abstract=920496 or http://dx.doi.org/10.2139/ssrn.920496