This paper identifies three common risk factors in the returns on cryptocurrencies, which are related to cryptocurrency …

This paper comprehensively examines the risk-return relation of cryptocurrency carry trade using realistic borrowing … fiat-currency carry trade which is vulnerable to crash risk, the cryptocurrency carry trade is resistant to the … cryptocurrency market crashes in 2018 and 2021. We show that the crypto-carry trade returns cannot be explained by established risk …

This paper comprehensively examines the risk-return relation of cryptocurrency carry trade using realistic borrowing … fiat-currency carry trade which is vulnerable to crash risk, the cryptocurrency carry trade is resistant to the … cryptocurrency market crashes in 2018 and 2021. We show that the crypto-carry trade returns cannot be explained by established risk …

Standardabweichungen zu testen. Wir erweitern die bestehende Literatur, indem wir zahlreiche Charakteristika identifizieren, die Risiko und … to explain cryptocurrency risk and return. …

variations. We show that a hedged portfolio sorted on idiosyncratic diffusive risk yields a weekly return of -2.16%, suggesting … the existence of a low idiosyncratic risk anomaly. Subsequently, we examine possible explanations for this anomaly, and …

We examine the role of geopolitical risk in the cross-sectional pricing of cryptocurrencies. We calculate … cryptocurrency exposure to changes in the geopolitical risk index and document that coins with the lowest geopolitical beta … outperform those with high geopolitical beta. Our findings suggest that risk-averse investors require additional compensation as …

pricing perspective, we find little to no evidence against the World CAPM model, where the market consists out of equity …Corporate bond returns in the major developed economies increase with risk, as measured by maturity and ratings. From a …

equally after taking risk into account, and examines the predictive power of reward-to-risk ratios for expected market returns …. We place special emphasis on downside risk by calculating both nonparametric and parametric value at risk. We find that … when all 52 markets are ranked based on their alternative reward-to-risk ratios, almost all of the countries in the top …

, we use a new conditional-risk factor, which is a market timing strategy defined as the unexpected return on the market … times the ex ante price of risk. The factor is a powerful tool for documenting a global effect of conditional risk on stock … returns: across 23 developed countries, all major equity risk factors load on our conditional-risk factor with the right sign …