Aggarwal, Raj; Lucey, Brian M.; O'Connor, Fergal A. - Institute for International Integration Studies (IIIS), … - 2014
We offer the first examination of whether the gold forward rate is an unbiased predictor of the future gold spot rate. We find strong evidence that it is not, particularly at longer maturities. Building on Aggarwal and Zong's (2008) approach to allow for investor risk aversion, we then examine...