SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Common Risk Factors in Cryptocurrency
16 references·16 citing·18 second hopsampled
Common Risk Factors in Cryptocurrency (2019)Common Risk Factors in CryptocurrencyThe Cross‐Section of Volatility and Expected Returns (2006)The Cross‐Section of Volatili…Illiquidity and stock returns: cross-section and time-series effects (2002)Illiquidity and stock returns…A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets (1999)A Unified Theory of Underreac…Investor Psychology and Security Market Under‐ and Overreactions (1998)Investor Psychology and Secur…On Persistence in Mutual Fund Performance (1997)On Persistence in Mutual Fund…Multifactor Explanations of Asset Pricing Anomalies (1996)Multifactor Explanations of A…Size and Book-to-Market Factors in Earnings and Returns (1995)Size and Book-to-Market Facto…Returns 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…Evidence of Predictable Behavior of Security Returns (1990)Evidence of Predictable Behav…Does the Stock Market Overreact? (1985)Does the Stock Market Overrea…The relationship between return and market value of common stocks (1981)The relationship between retu…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…The Behavior of Stock-Market Prices (1965)The Behavior of Stock-Market …A model of investor sentiment /A model of investor sentiment…Time horizon and cryptocurrency ownership: Is crypto not speculative? (2022)Time horizon and cryptocurren…Liquidity in the cryptocurrency market and commonalities across anomalies (2022)Liquidity in the cryptocurren…A new “Wall Street Darling?” effects of regulation sentiment in cryptocurrency markets (2022)A new “Wall Street Darling?” …Lottery-like preferences and the MAX effect in the cryptocurrency market (2021)Lottery-like preferences and …Liquidity risk and expected cryptocurrency returns (2021)Liquidity risk and expected c…Determination of drivers for investing in cryptocurrencies through a fuzzy full consistency method-Bonferroni (FUCOM-F’B) framework (2021)Determination of drivers for …Bitcoin: A safe haven asset and a winner amid political and economic uncertainties in the US? (2021)Bitcoin: A safe haven asset a…Are cryptos becoming alternative assets? (2021)Are cryptos becoming alternat…Twitter-Based Uncertainty and Cryptocurrency Returns (2020)Twitter-Based Uncertainty and…On the Performance of Cryptocurrency Funds (2020)On the Performance of Cryptoc…MAX Momentum in Cryptocurrency Markets (2020)MAX Momentum in Cryptocurrenc…Bitcoin spot and futures market microstructure (2020)Bitcoin spot and futures mark…Do Fundamentals Drive Cryptocurrency Prices? (2019)Do Fundamentals Drive Cryptoc…Tokenomics: Dynamic Adoption and Valuation (2018)Tokenomics: Dynamic Adoption …The Information Content of ICO White Papers (2018)The Information Content of IC…Equilibrium Bitcoin Pricing (2018)Equilibrium Bitcoin PricingCAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)A five-factor asset pricing model (2014)DISTRIBUTION OF INCOMES OF CORPORATIONS AMONG DIVIDENDS, RETAINED EARNINGS AND TAXES (1956)Portfolio Selection: Efficient Diversification of Investments (1959)Dividend Policy, Growth, and the Valuation of Shares (1961)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)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)Capital Market Equilibrium with Restricted Borrowing (1972)A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory (1977)The General Theory of Employment, Interest and Money, by John Maynard Keynes (1936)The General Theory of Employment, Interest and Money. (1936)Judgment Under Uncertainty: Heuristics and Biases. (1984)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Industry costs of equity (1997)Editor's Choice Digesting Anomalies: An Investment ApproachLiquidity Risk and Expected Stock Returns (2003)Asset pricing with liquidity risk (2005)
this work references cited by second hop· second hop is a sample of the most-cited connections

References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1997On Persistence in Mutual Fund Performance17,267 cited
  • 1992The Cross-Section of Expected Stock Returns17,251 cited
  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 1993Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency11,575 cited
  • 2002Illiquidity and stock returns: cross-section and time-series effects10,008 cited
  • 1965The Behavior of Stock-Market Prices8,707 cited
  • 1985Does the Stock Market Overreact?7,569 cited
  • 1996Multifactor Explanations of Asset Pricing Anomalies6,710 cited
  • 1981The relationship between return and market value of common stocks5,928 cited
  • 1998Investor Psychology and Security Market Under‐ and Overreactions5,711 cited
  • 2006The Cross‐Section of Volatility and Expected Returns4,576 cited
  • n.d.A model of investor sentiment /4,073 cited
  • 1999A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets4,018 cited
  • 1995Size and Book-to-Market Factors in Earnings and Returns3,456 cited
  • 1990

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

Evidence of Predictable Behavior of Security Returns
2,702 cited

Cited by

  • 2021Bitcoin: A safe haven asset and a winner amid political and economic uncertainties in the US?198 cited
  • 2020Twitter-Based Uncertainty and Cryptocurrency Returns100 cited
  • 2018Equilibrium Bitcoin Pricing98 cited
  • 2018Tokenomics: Dynamic Adoption and Valuation74 cited
  • 2021Determination of drivers for investing in cryptocurrencies through a fuzzy full consistency method-Bonferroni (FUCOM-F’B) framework68 cited
  • 2021Liquidity risk and expected cryptocurrency returns63 cited
  • 2020On the Performance of Cryptocurrency Funds63 cited
  • 2020MAX Momentum in Cryptocurrency Markets59 cited
  • 2022Liquidity in the cryptocurrency market and commonalities across anomalies52 cited
  • 2019Do Fundamentals Drive Cryptocurrency Prices?45 cited
  • 2020Bitcoin spot and futures market microstructure44 cited
  • 2018The Information Content of ICO White Papers42 cited
  • 2021Lottery-like preferences and the MAX effect in the cryptocurrency market37 cited
  • 2021Are cryptos becoming alternative assets?31 cited
  • 2022A new “Wall Street Darling?” effects of regulation sentiment in cryptocurrency markets30 cited
  • 2022Time horizon and cryptocurrency ownership: Is crypto not speculative?29 cited