We propose an alternative approach to the linear factor model to estimate and decompose asset risk premia in empirical asset pricing. To resolve the high-dimensional sort difficulty in forming characteristic-based benchmark portfolios, we introduce a benchmark combination model (BCM) that...

This paper investigates tactical investment strategies for investors to survive financial crises. Compared with the buy-and-hold strategy, the buy-and-sell strategy is much more effective in mitigating downside risk before, during, and after a crisis by restricting the left-tail volatility of...

This paper studies the MAX effect, the relationship between maximum daily returns and future returns in the cryptocurrency market. The cryptocurrency market is an ideal setting for the MAX effect, due to its lottery-like features (i.e., large positive skewness). Contrary to findings in other...