© 2014 Elsevier Inc. 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 the hedging and diversification of gold mining firms. 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.