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Cross-cryptocurrency return predictability
16 references·0 citing·44 second hopsampled
Cross-cryptocurrency return predictability (2024)Cross-cryptocurrency return predictabilityEmpirical Asset Pricing via Machine Learning (2020)Empirical Asset Pricing via M…Trading and Arbitrage in Cryptocurrency Markets (2018)Trading and Arbitrage in Cryp…Risks and Returns of Cryptocurrency (2018)Risks and Returns of Cryptocu…Exploring the Dynamic Relationships between Cryptocurrencies and Other Financial Assets (2017)Exploring the Dynamic Relatio…In Search of Attention (2011)In Search of AttentionEconomic Links and Predictable Returns (2008)Economic Links and Predictabl…Information Uncertainty and Stock Returns (2006)Information Uncertainty and S…Illiquidity and stock returns: cross-section and time-series effects (2002)Illiquidity and stock returns…Determining the Number of Factors in Approximate Factor Models (2002)Determining the Number of Fac…Contagion as a Wealth Effect (2001)Contagion as a Wealth EffectBad News Travels Slowly: Size, Analyst Coverage, and the Profitability of Momentum Strategies (2000)Bad News Travels Slowly: Size…A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets (1999)A Unified Theory of Underreac…Trading Volume and Serial Correlation in Stock Returns (1993)Trading Volume and Serial Cor…Geographic Localization of Knowledge Spillovers as Evidenced by Patent Citations (1993)Geographic Localization of Kn…When Are Contrarian Profits Due to Stock Market Overreaction? (1990)When Are Contrarian Profits D…A Simple Model of Capital Market Equilibrium with Incomplete Information (1987)A Simple Model of Capital Mar…The arbitrage theory of capital asset pricing (1976)The Econometrics of Financial Markets (1997)PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS (2004)Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure (2006)A simple panel unit root test in the presence of cross‐section dependence (2007)The Econometrics of Financial Markets (2012)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Risk, Return, and Equilibrium: Empirical Tests (1973)The Framing of Decisions and the Psychology of Choice (1981)The Limits of Arbitrage (1995)All That Glitters: The Effect of Attention and News on the Buying Behavior of Individual and Institutional Investors (2007)Increasing Returns and Long-Run Growth (1986)Endogenous Technological Change (1989)Innovation and Growth in the Global Economy. (1993)Collaboration Networks, Structural Holes, and Innovation: A Longitudinal Study (2000)Location, Competition, and Economic Development: Local Clusters in a Global Economy (2000)The NBER Patent Citation Data File: Lessons, Insights and Methodological Tools (2001)The Cross-Section of Expected Stock Returns (1992)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)The Cross‐Section of Volatility and Expected Returns (2006)Common risk factors in the returns on stocks and bonds (1993)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)Editor's Choice Digesting Anomalies: An Investment ApproachOn Persistence in Mutual Fund Performance (1997)Liquidity Risk and Expected Stock Returns (2003)Asset pricing with liquidity risk (2005)The Behavior of Stock-Market Prices (1965)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Efficient Capital Markets: II (1991)Deep learning with long short-term memory networks for financial market predictions (2017)Investor Sentiment and the Cross‐Section of Stock Returns (2006)The Sum of All FEARS Investor Sentiment and Asset Prices (2014)Wisdom of Crowds: The Value of Stock Opinions Transmitted Through Social Media (2014)Carbon Tail Risk (2018)Comparing Predictive Accuracy (1994)A five-factor asset pricing model (2014)Characteristics are covariances: A unified model of risk and return (2019)Artificial intelligence and machine learning in finance: Identifying foundations, themes, and research clusters from bibliometric analysis (2021)Forecasting: theory and practice (2022)Retail Investor Sentiment and Return Comovements (2006)High idiosyncratic volatility and low returns: International and further U.S. evidence (2008)Individualism and Momentum around the World (2010)
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References

  • 2002Illiquidity and stock returns: cross-section and time-series effects10,008 cited
  • 1993Geographic Localization of Knowledge Spillovers as Evidenced by Patent Citations7,818 cited
  • 1987A Simple Model of Capital Market Equilibrium with Incomplete Information5,808 cited
  • 2002Determining the Number of Factors in Approximate Factor Models4,110 cited
  • 1999A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets4,018 cited
  • 2011In Search of Attention3,124 cited
  • 2020Empirical Asset Pricing via Machine Learning2,832 cited
  • 2000Bad News Travels Slowly: Size, Analyst Coverage, and the Profitability of Momentum Strategies2,639 cited
  • 2006Information Uncertainty and Stock Returns1,844 cited
  • 1990When Are Contrarian Profits Due to Stock Market Overreaction?1,707 cited
  • 1993Trading Volume and Serial Correlation in Stock Returns1,560 cited
  • 2017Exploring the Dynamic Relationships between Cryptocurrencies and Other Financial Assets1,425 cited
  • 2008Economic Links and Predictable Returns1,411 cited
  • 2018Risks and Returns of Cryptocurrency1,135 cited
  • 2018Trading and Arbitrage in Cryptocurrency Markets977 cited

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  • 2001Contagion as a Wealth Effect926 cited
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