Narrow search
Showing 1 - 10 of 19,065
Cover Image
On bubbles in cryptocurrency prices
Oordt, Maarten R. C. van - 2024
This paper investigates how cryptocurrencies relate to concepts such as bubbles, Ponzi-schemes and digital gold in a tractable model for cryptocurrency prices. Investors in the baseline equilibrium hold coins to sell them at a profit to future users if they anticipate in increase in...
Persistent link: https://www.econbiz.de/10014634056
Cover Image
Cryptocurrency, Mining Pools' Concentration, and Asset Prices
Datta, Bikramaditya; Hodor, Idan - 2021
This paper studies the asset pricing implications of mining pools' concentration. We incorporate two features specific to cryptocurrencies into a traditional dynamic asset pricing model. First, we introduce the technological arms race between mining pools, and second, the interdependency between...
Persistent link: https://www.econbiz.de/10013216686
Cover Image
The Pricing of Jump and Diffusive Risks in the Cross-Section of Cryptocurrency Returns
Leong, Minhao; Kwok, Simon - 2022
In this study, we investigate the pricing of risks in the cross-section of cryptocurrency returns. In doing so, we decompose total variations into systematic and idiosyncratic components, as well as differentiate jumps from diffusive variations. We show that a hedged portfolio sorted on...
Persistent link: https://www.econbiz.de/10013293621
Cover Image
Cryptocurrencies Meet Equities : Risk Factors And Asset Pricing Relationships
Dobrynskaya, Victoria; Dubrovskiy, Mikhail - 2022
We consider a variety of cryptocurrency and equity risk factors as potential forces that drive cryptocurrency returns and carry risk premiums. In a cross-section of 2,000 biggest cryptocurrencies, only downside market risk, cryptocurrency size and policy uncertainty factors are systematically...
Persistent link: https://www.econbiz.de/10013298411
Cover Image
Network Hype and Asset Pricing of Cryptocurrencies : Evidence Based on a Google-Attention Approach
Ling, Aifan - 2020
The rapid development of cryptocurrencies motivates us to examine the factors that drive cryptocurrency prices. Using Google attention innovation ($GAI$) to measure network hype or investor speculation, this paper investigates the effect of network hype in the cryptocurrency market and proposes...
Persistent link: https://www.econbiz.de/10012848506
Cover Image
The Low Beta Anomaly : A Corporate Bond Investor's Perspective
Bektic, Demir - 2018
The low beta anomaly is well documented for equity markets. However, the existence of such a factor in corporate bond markets is less explored. I find that European corporate bonds of firms with a low equity beta have higher risk-adjusted returns, on average, than European corporate bonds of...
Persistent link: https://www.econbiz.de/10012934109
Cover Image
The Cross-Section of Cryptocurrency Returns
Borri, Nicola - 2020
We start by documenting large differences in bitcoin prices across exchanges located in different countries, or for different fiat currency pairs. For the most reputable exchanges, and after carefully accounting for all the transaction costs and limitations to trade, we find that costly...
Persistent link: https://www.econbiz.de/10012851468
Cover Image
Testing mean-variance efficiency in CAPM with possibly non-gaussian errors: an exact simulation-based approach
Dufour, Jean-Marie; Beaulieu, Marie-Claude; Khalaf, Lynda - 2003
of Capital Asset Pricing Model (CAPM), allowing for a wide class of error distributions which include normality as a … is too restrictive when testing the CAPM. We also propose exact multivariate diagnostic checks (including tests for …In diesem Papier schlagen wir exakte likelihood-basierte Tests auf Mittelwert-Varianz- Effizienz im Rahmen des CAPM vor …
Persistent link: https://www.econbiz.de/10010295747
Cover Image
Identification-Robust Estimation and Testing of the Zero-Beta CAPM
Beaulieu, Marie-Claude - 2011
We propose exact simulation-based procedures for: (i) testing mean-variance efficiency when the zero-beta rate is unknown, and (ii) building confidence intervals for the zero-beta rate. On observing that this parameter may be weakly identified, we propose LR-type statistics as well as...
Persistent link: https://www.econbiz.de/10013130243
Cover Image
Risk Management of Alpha Models
Elavia, Tony - 2010
After posting good performance and impressive business growth for over two decades, quantitative equity investment managers have recently produced weak returns. We develop a measure of risk and show how changes in risk provide a common framework to explain past under-performance, as well as...
Persistent link: https://www.econbiz.de/10013139850