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Toward a Factor Structure in Crypto Asset Returns
16 references·4 citing·31 second hop
Toward a Factor Structure in Crypto Asset Returns (2019)Toward a Factor Structure in Crypto Asset…Digital Tulips? Returns to investors in initial coin offerings (2020)Digital Tulips? Returns to in…Initial Coin Offerings: Financing Growth with Cryptocurrency Token Sales (2019)Initial Coin Offerings: Finan…Cryptocurrencies: Stylized facts on a new investible instrument (2019)Cryptocurrencies: Stylized fa…Risks and Returns of Cryptocurrency (2018)Risks and Returns of Cryptocu…Initial Coin Offerings (2018)Initial Coin OfferingsInitial Coin Offerings and the Value of Crypto Tokens (2018)Initial Coin Offerings and th…A Theory of ICOs: Diversification, Agency, and Information Asymmetry (2018)A Theory of ICOs: Diversifica…Why Do Businesses Go Crypto? An Empirical Analysis of Initial Coin Offerings (2017)Why Do Businesses Go Crypto? …A five-factor asset pricing model (2014)A five-factor asset pricing m…Common Risk Factors in Currency Markets (2011)Common Risk Factors in Curren…Benchmarks as Limits to Arbitrage: Understanding the Low Volatility Anomaly (2010)Benchmarks as Limits to Arbit…The Volatility Effect (2007)The Volatility EffectReturns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Returns to Buying Winners and…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…The Cross-Section of Expected Stock Returns (1992)The Cross-Section of Expected…The arbitrage theory of capital asset pricing (1976)The arbitrage theory of capit…The dynamics of returns predictability in cryptocurrency markets (2022)The dynamics of returns predi…Explaining cryptocurrency returns: A prospect theory perspective (2022)Explaining cryptocurrency ret…Can salience theory explain investor behaviour? Real-world evidence from the cryptocurrency market (2022)Can salience theory explain i…Initial Coin Offerings: Current Research and Future Directions (2021)Initial Coin Offerings: Curre…Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross‐Section of Volatility and Expected Returns (2006)Benchmarks as Limits to Arbitrage: Understanding the Low-Volatility Anomaly (2010)In Defense of Optimization: The Fallacy of 1/ N (2010)Speculative Betas (2016)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Illiquidity and stock returns: cross-section and time-series effects (2002)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Financial Intermediation and Delegated Monitoring (1984)Does the Stock Market Overreact? (1985)Multifactor Explanations of Asset Pricing Anomalies (1996)Investor Psychology and Security Market Under‐ and Overreactions (1998)Information asymmetry, corporate disclosure, and the capital markets: A review of the empirical disclosure literature (2001)Venture Capital and the Professionalization of Start‐Up Firms: Empirical Evidence (2002)The dynamics of crowdfunding: An exploratory study (2013)Decentralized Governance of Digital Platforms (2020)Prospect Theory: An Analysis of Decision under Risk (1979)Prospect theory: An analysis of decision under risk (1988)Religious beliefs, gambling attitudes, and financial market outcomes (2011)Behavioral Finance (2015)Manager sentiment and stock returns (2018)A Theory of the Term Structure of Interest Rates (1985)Carry Trades and Global Foreign Exchange Volatility (2012)Climate risks and market efficiency (2018)Risks and Returns of Cryptocurrency (2020)Crowdfunding: Tapping the right crowd (2013)Editor's Choice Digesting Anomalies: An Investment ApproachOn Persistence in Mutual Fund Performance (1997)Do Shareholders Benefit from Green Bonds? (2018)Empirical Asset Pricing via Machine Learning (2020)
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References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1992The Cross-Section of Expected Stock Returns17,251 cited
  • 1993Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency11,575 cited
  • 2014A five-factor asset pricing model7,841 cited
  • 1976The arbitrage theory of capital asset pricing7,081 cited
  • 2011Common Risk Factors in Currency Markets1,079 cited
  • 2010Benchmarks as Limits to Arbitrage: Understanding the Low Volatility Anomaly770 cited
  • 2017Why Do Businesses Go Crypto? An Empirical Analysis of Initial Coin Offerings558 cited
  • 2019Initial Coin Offerings: Financing Growth with Cryptocurrency Token Sales511 cited
  • 2007The Volatility Effect359 cited
  • 2020Digital Tulips? Returns to investors in initial coin offerings303 cited
  • 2018A Theory of ICOs: Diversification, Agency, and Information Asymmetry298 cited
  • 2018Initial Coin Offerings and the Value of Crypto Tokens251 cited
  • 2019Cryptocurrencies: Stylized facts on a new investible instrument228 cited
  • 2018Risks and Returns of Cryptocurrency205 cited
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Initial Coin Offerings
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  • 2022The dynamics of returns predictability in cryptocurrency markets37 cited
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  • 2021Initial Coin Offerings: Current Research and Future Directions21 cited