Gold Mining Companies and the Price of Gold

23 Pages Posted: 27 Feb 2012 Last revised: 7 May 2014

See all articles by Dirk G. Baur

Dirk G. Baur

University of Western Australia - Business School; Financial Research Network (FIRN)

Date Written: May 7, 2014


This paper studies the exposure of Australian gold mining firms to changes in the gold price. We use a theoretical framework to formulate testable hypotheses regarding the gold exposure of gold mining firms. The empirical analysis based on all gold mining firms in the S&P/ASX All Ordinaries Gold Index for the period from January 1980 to December 2010 finds that the average gold beta is around one but varies significantly through time. The relatively low average gold beta is attributed to firm’s hedging and diversification. We further find an asymmetric effect in gold betas, i.e. the gold exposure increases with positive gold price changes and decreases with negative gold price changes consistent with gold mining companies exercising real options on gold.

Keywords: gold, gold-mining stocks, asymmetric payoff, real options, exchange-traded funds

JEL Classification: C21, C22, F31, L61, L71

Suggested Citation

Baur, Dirk G., Gold Mining Companies and the Price of Gold (May 7, 2014). Available at SSRN: or

Dirk G. Baur (Contact Author)

University of Western Australia - Business School ( email )

School of Business
35 Stirling Highway
Crawley, Western Australia 6009

Financial Research Network (FIRN)

C/- University of Queensland Business School
St Lucia, 4071 Brisbane


Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Abstract Views
PlumX Metrics