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...

Prior literature on the diversification discount and the relative efficiency of internal versus external capital markets provides decidedly mixed results. We argue that transactions cost economics are useful in understanding this puzzle. According to transactions cost economics, diversified...

An important puzzle in international finance is the failure of the forward exchange rate to be a rational forecast of the future spot rate. It has often been suggested that this puzzle may be resolved by using better statistical procedures that correct for both non-stationarity and nonnormality...

This paper examines for the first time the existence of psychological barriers in a variety of daily and intra-day gold price series. This paper uses a number of statistical procedures and presents evidence of psychological barriers in gold prices. We document that prices in round numbers act as...

This paper examines the integration of European equity markets over the 1985-2002 period using a relatively new cointegrating technique that assesses how the level of integration in equity price levels changes over time. This procedure is supplemented by two other dynamic techniques that also...