Do Investors Learn? Evidence from a Gold Market Anomaly.
This study finds evidence that supports the investor learning hypothesis using data from the gold market. Consistent with conventional wisdom, the prior returns on an equally-weighted portfolio of gold-producing stocks are found to predict gold returns. However, the predictive power is shown to have diminished since the first public discussion of the anomaly, a finding consistent with the investor learning hypothesis. Copyright 1997 by MIT Press.
Year of publication: |
1997
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Authors: | McQueen, Grant ; Thorley, Steven |
Published in: |
The Financial Review. - Eastern Finance Association - EFA. - Vol. 32.1997, 3, p. 501-25
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Publisher: |
Eastern Finance Association - EFA |
Saved in:
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