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Common Risk Factors in Cryptocurrency
16 references·16 citing·17 second hopsampled
Common Risk Factors in Cryptocurrency (2022)Common Risk Factors in CryptocurrencyThe Cross‐Section of Volatility and Expected Returns (2006)The Cross‐Section of Volatili…Liquidity Risk and Expected Stock Returns (2003)Liquidity Risk and Expected S…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…A model of investor sentiment1We are grateful to the NSF for financial support, and to Oliver Blanchard, Alon Brav, John Campbell (a referee), John Cochrane, Edward Glaeser, J.B. Heaton, Danny Kahneman, David Laibson, Owen Lamont, Drazen Prelec, Jay Ritter (a referee), Ken Singleton, Dick Thaler, an anonymous referee, and the editor, Bill Schwert, for comments.1 (1998)A model of investor sentiment…Multifactor Explanations of Asset Pricing Anomalies (1996)Multifactor Explanations of A…The Limits of Arbitrage (1995)The Limits of ArbitrageReturns 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…Noise Trader Risk in Financial Markets (1990)Noise Trader Risk in Financia…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…The arbitrage theory of capital asset pricing (1976)The arbitrage theory of capit…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…Essays in International Finance (2024)Essays in International Finan…Equilibrium Bitcoin Pricing (2023)Equilibrium Bitcoin PricingTrading volume and liquidity provision in cryptocurrency markets (2022)Trading volume and liquidity …Time-varying dependence between Bitcoin and green financial assets: A comparison between pre- and post-COVID-19 periods (2022)Time-varying dependence betwe…The Cross-Section of Cryptocurrency Returns (2022)The Cross-Section of Cryptocu…Is Geopolitical Risk Priced in the Cross-Section of Cryptocurrency Returns? (2022)Is Geopolitical Risk Priced i…Decentralization through Tokenization (2022)Decentralization through Toke…Investing with cryptocurrencies – evaluating their potential for portfolio allocation strategies (2021)Investing with cryptocurrenci…How to measure the liquidity of cryptocurrency markets? (2021)How to measure the liquidity …Downside risk and the cross-section of cryptocurrency returns (2021)Downside risk and the cross-s…Bitcoin: A safe haven asset and a winner amid political and economic uncertainties in the US? (2021)Bitcoin: A safe haven asset a…Twitter-Based Uncertainty and Cryptocurrency Returns (2020)Twitter-Based Uncertainty and…Tokenomics: Dynamic Adoption and Valuation (2020)Tokenomics: Dynamic Adoption …Risks and Returns of Cryptocurrency (2018)Risks and Returns of Cryptocu…Equilibrium Bitcoin Pricing (2018)Equilibrium Bitcoin PricingCryptocurrency Pump-and-Dump Schemes (2018)Cryptocurrency Pump-and-Dump …CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)A five-factor asset pricing model (2014)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)The General Theory of Employment, Interest and Money. (1936)The Behavior of Stock-Market Prices (1965)Continuous Auctions and Insider Trading (1985)Investor Sentiment and the Cross‐Section of Stock Returns (2006)Industry costs of equity (1997)On Persistence in Mutual Fund Performance (1997)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)Judgment Under Uncertainty: Heuristics and Biases. (1984)Editor's Choice Digesting Anomalies: An Investment ApproachAsset pricing with liquidity risk (2005)
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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
  • 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
  • 1985Does the Stock Market Overreact?7,569 cited
  • 1976The arbitrage theory of capital asset pricing7,081 cited
  • 1996Multifactor Explanations of Asset Pricing Anomalies6,710 cited
  • 1990Noise Trader Risk in Financial Markets6,259 cited
  • 1981The relationship between return and market value of common stocks5,928 cited
  • 1998Investor Psychology and Security Market Under‐ and Overreactions5,711 cited
  • 2003Liquidity Risk and Expected Stock Returns5,362 cited
  • 1995The Limits of Arbitrage5,282 cited
  • 2006The Cross‐Section of Volatility and Expected Returns4,576 cited
  • 1999A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets4,018 cited
  • 1998

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A model of investor sentiment1We are grateful to the NSF for financial support, and to Oliver Blanchard, Alon Brav, John Campbell (a referee), John Cochrane, Edward Glaeser, J.B. Heaton, Danny Kahneman, David Laibson, Owen Lamont, Drazen Prelec, Jay Ritter (a referee), Ken Singleton, Dick Thaler, an anonymous referee, and the editor, Bill Schwert, for comments.1
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