Journal Article10.1016/J.ECONMOD.2019.09.035
Common risk factors in the returns on cryptocurrencies
Weiyi Liu,Xuan Liang,Guowei Cui +2 more
99
TL;DR: Investigating a collection of 78 cryptocurrencies, it is found that there are anomalous returns that decrease with size and increase with return momentum, and the momentum effect is more significant in small cryptocurrencies.
read more
About: This article is published in Economic Modelling. The article was published on 01 Mar 2020. The article focuses on the topics: Momentum (finance) & Cryptocurrency.
read more
Chat with Paper
AI Agents for this Paper
Find similar papers on Google Scholar, PubMed and Arxiv
Write a critical review of this paper
Analyze citations of this paper to find unaddressed research gaps
Citations
A systematic literature review of investor behavior in the cryptocurrency markets
TL;DR: In this article , a systematic literature review on investor behavior in the cryptocurrency market on a sample of 166 papers published in journals ranked in the ABS 2021 journal list, considering the different fields of knowledge is presented.
104
Investor attention in cryptocurrency markets
Lee A. Smales,Lee A. Smales +1 more
TL;DR: This article examined the relationship between investor attention, and measures of uncertainty, with the market dynamics of Bitcoin and other cryptocurrencies and found that increases in investor attention are associated with higher returns, more volatility, and greater illiquidity in cryptocurrency markets.
84
Speculation and lottery-like demand in cryptocurrency markets
Klaus Grobys,Juha Junttila +1 more
TL;DR: In this article, the authors explore lottery-like demand in cryptocurrency markets and propose statistical tests that are robust to unknown dynamic dependency structures in the cryptocurrency data, showing that average raw and risk-adjusted return differences between cryptocurrencies in the lowest and highest MAX quintiles exceed 1.50% per week.
72
Seasonality in the Cross-Section of Cryptocurrency Returns
Huaigang Long,Adam Zaremba,Adam Zaremba,Ender Demir,Jan Jakub Szczygielski,Jan Jakub Szczygielski,Mikhail Vasenin +6 more
TL;DR: In this article, the authors apply sorts and cross-sectional regressions to investigate daily returns on 151 cryptocurrencies for the years 2016 to 2019 and find a significant seasonal pattern: average past same-weekday returns positively predict future performance in the cross-section.
50
Returns and network growth of digital tokens after cross-listings
Hugo Benedetti,Ehsan Nikbakht +1 more
TL;DR: In this article, the role of cross-listings in the digital token marketplace ecosystem is examined, and the authors identify specific value-creation channels using a unique set of publicly available and hand-collected data.
50
References
Dividend Policy, Growth, and the Valuation of Shares
TL;DR: In this paper, the effect of differences in dividend policy on the current price of shares in an ideal economy characterized by perfect capital markets, rational behavior, and perfect certainty is examined.
Asset pricing and the bid-ask spread
TL;DR: In this article, the effect of the bid-ask spread on asset pricing was studied and it was shown that market-observed expexted return is an increasing and concave function of the spread.
5.3K
Asset pricing and bid-ask spread
P Asquit,H Mendelson +1 more
- 01 Jan 1986
TL;DR: In this article, the effect of the bid-ask spread on asset pricing was studied and it was shown that market-observed expexted return is an increasing and concave function of the spread.
2.8K
•Book
Stock Prices, Earnings and Expected Dividends
John Y. Campbell,Robert J. Shiller +1 more
- 01 Jan 1988
TL;DR: In this paper, a vector-autoregressive forecast of the present value of future dividends is presented, for each year, roughly a weighted average of moving-average earnings and current real price, with between two thirds and three fourths of the weight on the earnings measure.
•Posted Content
Stock Prices, Earnings, and Expected Dividends
TL;DR: In this paper, it was shown that a long historical average of real earnings is a good predictor of the present value of future real dividends, even when the information contained in stock prices is taken into account.
2K