Browsing by Author "Schmidt, Johannes"

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    Gold – a hedge, safe haven or a diversifier - A comparison between the Swedish and the American financial market
    (2020-02-21) Schmidt, Johannes; Westerbäck, Mikael; University of Gothenburg/Department of Economics; Göteborgs universitet/Institutionen för nationalekonomi med statistik
    The purpose of this study is to investigate the role of gold as a financial asset and comparing the result between the American and the Swedish financial market. Using time series data for monthly and daily returns of S&P500, OMXS30, American 10-year bonds, Swedish 10-year bonds, oil and gold this study analyzes if gold has been a hedge, safe have or a diversifier for Swedish and American stocks and bonds the last 20 years. This thesis constructed an efficient portfolio with regards to maximizing the Sharpe to see if gold has improved financial portfolios during the last 20 years. We investigated 4 different time periods, 1999-2019, 1999-2009, 2009-2019 and 2007-2009. Gold was found to be a hedge against both American and Swedish bonds. Gold was a safe haven for American stocks and Swedish bonds. Gold was also found to be a diversifier for American and Swedish stocks and bonds in times of financial turmoil. This thesis also finds that gold is a forward hedge for American stocks, American bonds and Swedish bonds. However, the result is not consistent over all periods. In the efficient portfolios, gold had a major allocation in every portfolio with the lowest allocation of 52.51%. This thesis can conclude that gold is an attractive financial asset for both American and Swedish investors even though its function as a safe haven, hedge or diversifier is not consistent.
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    Hedging inflation in Sweden- An analysis of gold, stocks, and real estates inflation hedging capability.
    (2022-06-29) Singh, Arvinder; Schmidt, Johannes; University of Gothenburg/Graduate School; Göteborgs universitet/Graduate School
    The recent increase in inflation has made the discussion of inflation hedging a top priority for academics, portfolio managers and investors. In this study, we analyse which asset class out of gold, stocks, and real estate has been the best hedge against inflation in Sweden since 1986. By following the most commonly used methodology (OLS estimator) grounded on the Fisher hypothesis, we found that neither gold nor stocks turned out to be a hedge against inflation. At the same time, real estate was a statistically significant partial hedge against inflation. We show that the hedging ability of the different assets is heavily time-dependent.