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A Time-Varying Network for Cryptocurrencies
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A Time-Varying Network for Cryptocurrencies (2022)A Time-Varying Network for Cryptocurrenci…Risks and Returns of Cryptocurrency (2018)Risks and Returns of Cryptocu…Measuring Economic Policy Uncertainty* (2016)Measuring Economic Policy Unc…The Asset-Pricing Implications of Government Economic Policy Uncertainty (2015)The Asset-Pricing Implication…Systemic Risk and Stability in Financial Networks (2015)Systemic Risk and Stability i…Text-Based Network Industries and Endogenous Product Differentiation (2011)Text-Based Network Industries…Market Liquidity and Funding Liquidity (2008)Market Liquidity and Funding …Economic Links and Predictable Returns (2008)Economic Links and Predictabl…Investor attention, overconfidence and category learning (2006)Investor attention, overconfi…Bad News Travels Slowly: Size, Analyst Coverage, and the Profitability of Momentum Strategies (2000)Bad News Travels Slowly: Size…Do Industries Explain Momentum? (1999)Do Industries Explain Momentu…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…The Limits of Arbitrage (1995)The Limits of ArbitrageCommon risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…The Utility of Wealth (1952)The Utility of WealthSafety First and the Holding of Assets (1952)Safety First and the Holding …Crypto Currency Investment from an Islamic Law Perspective: An Overview of Guidelines and Considerations (2025)Crypto Currency Investment fr…Good vs. bad volatility in major cryptocurrencies: The dichotomy and drivers of connectedness (2024)Good vs. bad volatility in ma…Expectation in Economics (1949)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)Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy? (2007)Bank Governance, Regulation, and Risk Taking (2008)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)On Persistence in Mutual Fund Performance (1997)Illiquidity and stock returns: cross-section and time-series effects (2002)A five-factor asset pricing model (2014)The Behavior of Stock-Market Prices (1965)A model of investor sentiment / (1997)Investor Sentiment and the Cross‐Section of Stock Returns (2006)Continuous Auctions and Insider Trading (1985)Illusion and well-being: A social psychological perspective on mental health. (1988)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Boys will be Boys: Gender, Overconfidence, and Common Stock Investment (2001)Credit Rationing in Markets with Imperfect Information (1981)Bank Runs, Deposit Insurance, and Liquidity (1983)Liquidity and leverage (2008)Deciphering the Liquidity and Credit Crunch 2007–2008 (2009)Econometric measures of connectedness and systemic risk in the finance and insurance sectors (2012)Stability in Competition (1929)Industry costs of equity (1997)When Is a Liability Not a Liability? Textual Analysis, Dictionaries, and 10‐Ks (2011)Textual Analysis in Accounting and Finance: A Survey (2016)Text as Data (2019)Artificial Intelligence, Firm Growth, and Industry Concentration (2020)Liquidation Values and Debt Capacity: A Market Equilibrium Approach (1992)Financial Contagion (2000)Financial Networks and Contagion (2012)The Network Origins of Aggregate Fluctuations (2012)Quantile Connectedness: Modeling Tail Behavior in the Topology of Financial Networks (2018)Investment under Uncertainty (1994)Investment Under Uncertainty. (1994)The Impact of Uncertainty Shocks (2009)COVID-19 pandemic, oil prices, stock market, geopolitical risk and policy uncertainty nexus in the US economy: Fresh evidence from the wavelet-based approach (2020)The Unprecedented Stock Market Reaction to COVID-19 (2020)Measuring Geopolitical Risk (2022)The Cross‐Section of Volatility and Expected Returns (2006)All That Glitters: The Effect of Attention and News on the Buying Behavior of Individual and Institutional Investors (2007)Market efficiency, long-term returns, and behavioral finance1The comments of Brad Barber, David Hirshleifer, S.P. Kothari, Owen Lamont, Mark Mitchell, Hersh Shefrin, Robert Shiller, Rex Sinquefield, Richard Thaler, Theo Vermaelen, Robert Vishny, Ivo Welch, and a referee have been helpful. Kenneth French and Jay Ritter get special thanks.1 (1998)Capital markets research in accounting (2001)
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References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 2016Measuring Economic Policy Uncertainty*12,809 cited
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  • 2015The Asset-Pricing Implications of Government Economic Policy Uncertainty1,380 cited
  • 2018Risks and Returns of Cryptocurrency

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  • 2024Good vs. bad volatility in major cryptocurrencies: The dichotomy and drivers of connectedness15 cited
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