We provide empirical evidence that the returns on US equity momentum exhibit a time-varying skewness which deepens during dramatic losses (crashes). As a result, the dynamics of the strategy expected returns reflects the time variation in both conditional volatility and skewness. This has first...

We provide empirical evidence within the context of cryptocurrency markets that the returns from liquidity provision, proxied by the returns of a short-term reversal strategy, are primarily concentrated in trading pairs with lower levels of market activity. Empirically, we focus on a moderately...

We investigate the dynamics of daily realised returns and risk premiums for a large cross section of cryptocurrency pairs through the lens of an Instrumented Principal Component Analysis (IPCA) (see Kelly et al. 2019). We show that a model with three latent factors and time-varying factor...

We investigate the correlation between rarity and returns on investments in digital art in the form of non-fungible tokens (NFT) across three major comparable collections. Methodologically, we first quantify the “shadow” price of both individual rarity scores and aggregate market activity...