Gold Returns
研究了1836年至2011年黄金的实际价格变化率，发现其年均增长1.1%，标准差13.1%，与消费增长协方差可忽略，因此预期回报应接近无风险利率，并符合包含罕见灾难的资产定价模型。
From 1836 to 2011, gold's average annual real rate of price change is 1.1%, with a standard deviation of 13.1% and a negligible covariance with consumption growth. Because gold does not serve as a hedge against macroeconomic declines, its expected real rate of return should be close to the risk‐free rate of around 1%. These properties fit an asset‐pricing model with rare disasters and a high elasticity of substitution between gold services and ordinary consumption. In this scenario, gold's expected rate of return corresponds mostly to the unobserved dividend yield, with a small part comprising expected real price appreciation.