Suchergebnisse

"This paper aims to study the return of investment in gold assets quoted at the Paris stock exchange during 54 years, from 1950 to 2003. Contrarily to what is thought about this mythical metal, its risk-return is very inferior to other financial assets (stocks and bonds). While it has a high degree of risk, its return is less than that of the risk-free asset. Moreover for individual investors, investment in gold has given a very low result in real terms. A capital of 100 new francs invested in the gold coin napoleon in December 1949 would have been liquidated for 56 new francs in December 2003. So its real rate of return was -1% per year." (author's abstract)

AbstractBecause of the scarcity of data, there are few quantitative analyses dealing with clandestine markets, despite their prime importance during wartime. This article exploits a unique database of daily prices of gold coins traded in occupied Paris in order to gain insights into the price formation on such a market. First, using data from Switzerland, we show that arbitrage took place, despite the costs and risks involved, and led to a gradual (but incomplete) convergence of gold prices. Furthermore, a study of price seasonality reveals that less strict borders controls during the weekends made the volatility of returns higher at the start of the following week. Second, on the basis of an event study, we provide evidence that laws related to black markets did not have a significant impact on the gold price, except for the most severe law passed on 8 June 1943 which greatly increased the sentences for involvement. Finally, we assess whether the so‐called coin premiums existed on this clandestine market, and show that the large price variations for one gram of fine gold contained in different coins were due to market participants' preferences for specific gold coins.