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We find that three factors - cryptocurrency market, size, and momentum - capture the cross-sectional expected … cryptocurrency returns. We consider a comprehensive list of price- and market-related factors in the stock market, and construct … their cryptocurrency counterparts. Nine cryptocurrency factors form successful long-short strategies that generate sizable …
Persistent link: https://www.econbiz.de/10012479831
Since its launch in 2009 much has been written about Bitcoin, cryptocurrencies and blockchains. While the discussions initially took place mostly on blogs and other popular media, we now are witnessing the emergence of a growing body of rigorous academic research on these topics. By the nature...
Persistent link: https://www.econbiz.de/10012481332
cryptocurrency returns can be predicted by factors which are specific to cryptocurrency markets. Specifically, we determine that … there is a strong time-series momentum effect and that proxies for investor attention strongly forecast cryptocurrency …
Persistent link: https://www.econbiz.de/10012452844
This paper shows that greater global spatial correlation of productivities can increase cross-country welfare … dispersion by increasing the correlation between a country's productivity and its gains from trade. We causally validate this …
Persistent link: https://www.econbiz.de/10012479403
We study the economic sources of stock-bond return comovements and its time variation using a dynamic factor model. We identify the economic factors employing a semi-structural regime-switching model for state variables such as interest rates, inflation, the output gap, and cash flow growth. We...
Persistent link: https://www.econbiz.de/10012463390
Cyclical fluctuations in nominal variables--aggregate price levels and nominal interest rates--are documented to be substantially more synchronized across countries than cyclical fluctuations in real output. A transparent mechanism that can account for this striking feature of the nominal...
Persistent link: https://www.econbiz.de/10012463527
Does democracy promote economic development? We review recent attempts to address this question, which exploit the within-country variation associated with historical transitions in and out of democracy. The answer is positive, but depends -- in a subtle way -- on the details of democratic...
Persistent link: https://www.econbiz.de/10012466677
In this paper we employ World Values Survey measures of life satisfaction as though they were direct measures of … life satisfaction is more closely linked to several World Bank measures of the quality of government than to real per …
Persistent link: https://www.econbiz.de/10012466683
Penn World Tables and of the World Development Indicators better estimate true income per capita. We find that revisions of …-price series in both PWT 8.0 and PWT 8.1, the two most recent vintages of the PWT. We additionally find that the World Development … Indicators are as good, and often better, measures of unobserved true income as are any recent vintages of the Penn World Tables …
Persistent link: https://www.econbiz.de/10012456459
based on differences in average answers to questions from the World Values Survey. Using a simple theoretical model we …
Persistent link: https://www.econbiz.de/10012457425