arbiter
JournalsPricingAccount

On the Estimation of Risk Premium in the Gold Futures Market: Using the Goldman Sachs Commodity Index (GSCI) Approach

Helen Xu et al.

Research in Finance2013https://doi.org/10.1108/s0196-3821(2013)0000029007book-chapter
ABDC C
Weight
0.34

What the paper says

Abstract The issue of risk premium in commodity futures market has long been examined since Keynes’ (1930) normal backwardation hypothesis. We further examine the normal backwardation hypothesis in the gold futures market, using a Goldman Sachs Commodity Index (GSCI) approach. We find no evidence that risk premium exists in the gold futures market over the period 1980–2005. Finally, we provide further explanations as to why there is no risk premium in the gold futures market by investigating the actual gold futures positions taken by gold mining firms. We contend that lack of hedging activity by gold miners may explain the lack of risk premium in gold market.

3 citations

Open paper page →

Cite this paper

https://doi.org/https://doi.org/10.1108/s0196-3821(2013)0000029007

Or copy a formatted citation

@article{helen2013,
  title        = {{On the Estimation of Risk Premium in the Gold Futures Market: Using the Goldman Sachs Commodity Index (GSCI) Approach}},
  author       = {Helen Xu et al.},
  journal      = {Research in Finance},
  year         = {2013},
  doi          = {https://doi.org/https://doi.org/10.1108/s0196-3821(2013)0000029007},
}

Paste directly into BibTeX, Zotero, or your reference manager.

Flag this paper

On the Estimation of Risk Premium in the Gold Futures Market: Using the Goldman Sachs Commodity Index (GSCI) Approach

Flags are reviewed by the Arbiter methodology team within 5 business days.

Evidence weight

0.34

Balanced mode · F 0.40 / M 0.15 / V 0.05 / R 0.40

F · citation impact0.00 × 0.4 = 0.00
M · momentum0.80 × 0.15 = 0.12
V · venue signal0.50 × 0.05 = 0.03
R · text relevance †0.50 × 0.4 = 0.20

† Text relevance is estimated at 0.50 on the detail page — for your query’s actual relevance score, open this paper from a search result.