Here's a good reason, because history does not judge kindly those who speculate at the top of a chart like this, this is what the NASDAQ looked like and gold has climbed into exactly the same stratosphere.
www.contraryinvestor.com/imagesCImain/nasdaq071808.png
According to the WSJ the main reason, they believe, that gold shares have underperformed is because of the proliferation of ETF's. Why buy shonky gold shares with all kinds of variables when you can speculate on whether gold goes up or down, leveraged ETF's, whatever you want.
Ron Paul admit's he owns gold shares, lots of them and once again the other day warned of the coming meltdown, sending loads of 'mum and dads' out to buy krugerrands and eagles. Another contrarian warning.