Showing 51 - 60 of 62
Persistent link: https://www.econbiz.de/10013335939
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...
Persistent link: https://www.econbiz.de/10013403316
Persistent link: https://www.econbiz.de/10013473078
Persistent link: https://www.econbiz.de/10013461699
Persistent link: https://www.econbiz.de/10014529581
Persistent link: https://www.econbiz.de/10014322544
Persistent link: https://www.econbiz.de/10015053533
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...
Persistent link: https://www.econbiz.de/10013256971
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...
Persistent link: https://www.econbiz.de/10013210901
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...
Persistent link: https://www.econbiz.de/10014254813