Is Gold a Zero-Beta Asset? Analysis of the Investment Potential of Precious Metals
23 Pages Posted: 27 Jul 2006
Date Written: July 24, 2006
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