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Investor Sentiment, Unexpected Inflation, and Bitcoin Basis Risk
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Investor Sentiment, Unexpected Inflation, and Bitcoin Basis Risk (2024)Investor Sentiment, Unexpected Inflation,…The contagion effects of the COVID-19 pandemic: Evidence from gold and cryptocurrencies (2020)The contagion effects of the …Safe haven or risky hazard? Bitcoin during the Covid-19 bear market (2020)Safe haven or risky hazard? B…Pandemic-Related Financial Market Volatility Spillovers: Evidence from the Chinese COVID-19 Epicentre (2020)Pandemic-Related Financial Ma…Integración de los mercados financieros Latinoamericanos por medio de MILA (2020)Integración de los mercados f…High frequency volatility co-movements in cryptocurrency markets (2019)High frequency volatility co-…Risks and Returns of Cryptocurrency (2018)Risks and Returns of Cryptocu…Dynamic connectedness and integration in cryptocurrency markets (2018)Dynamic connectedness and int…Conditional Tail-Risk in Cryptocurrency Markets (2018)Conditional Tail-Risk in Cryp…Bitcoin is not the New Gold – A comparison of volatility, correlation, and portfolio performance (2018)Bitcoin is not the New Gold –…Bitcoin Futures—What use are they? (2018)Bitcoin Futures—What use are …Bitcoin, gold and the dollar – A GARCH volatility analysis (2015)Bitcoin, gold and the dollar …Does a Central Clearing Counterparty Reduce Counterparty Risk? (2011)Does a Central Clearing Count…Is Gold a Hedge or a Safe Haven? An Analysis of Stocks, Bonds and Gold (2010)Is Gold a Hedge or a Safe Hav…Hedging Performance and Basis Risk in Stock Index Futures (1984)Hedging Performance and Basis…Asset returns and inflation (1977)Asset returns and inflationTHE “FISHER EFFECT” FOR RISKY ASSETS: AN EMPIRICAL INVESTIGATION (1976)THE “FISHER EFFECT” FOR RISKY…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)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)Expected stock returns and volatility (1987)Efficient Capital Markets: II (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Gold as a hedge against the dollar (2005)A power GARCH examination of the gold market (2006)Metal volatility in presence of oil and interest rate shocks (2007)The Inefficiency of Bitcoin (2016)Exploring the Dynamic Relationships between Cryptocurrencies and Other Financial Assets (2017)Volatility estimation for Bitcoin: A comparison of GARCH models (2017)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Dynamic Conditional Correlation (2002)Are cryptocurrencies a safe haven for equity markets? An international perspective from the COVID-19 pandemic (2020)Searching for safe-haven assets during the COVID-19 pandemic (2020)Impulse response analysis in nonlinear multivariate models (1996)Generalized impulse response analysis in linear multivariate models (1998)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Stock markets and the COVID-19 fractal contagion effects (2020)Quantile connectedness in the cryptocurrency market (2021)Cryptocurrency trading: a comprehensive survey (2022)On the hedge and safe haven properties of Bitcoin: Is it really more than a diversifier? (2016)Economic impact of government interventions during the COVID-19 pandemic: International evidence from financial markets (2020)Infected Markets: Novel Coronavirus, Government Interventions, and Stock Return Volatility around the Globe (2020)Loss Aversion in Riskless Choice: A Reference-Dependent Model (1991)COVID-19 and finance: Agendas for future research (2020)Financial contagion during COVID–19 crisis (2020)Systemic Risk in Financial Systems (2001)Securities lending, shorting, and pricing (2002)Credit Default Swaps and the Credit Crisis (2010)High Frequency Trading and the New-Market Makers (2012)Where the Risks Lie: A Survey on Systemic Risk (2015)Judgment Under Uncertainty: Heuristics and Biases. (1984)Prospect theory: An analysis of decision under risk (1988)Advances in prospect theory: Cumulative representation of uncertainty (1992)Is gold a safe haven? International evidence (2010)The Sum of All FEARS Investor Sentiment and Asset Prices (2014)Common risk factors in the returns on stocks and bonds (1993)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)On Persistence in Mutual Fund Performance (1997)Common Risk Factors in Cryptocurrency (2019)A Novel Cryptocurrency Price Prediction Model Using GRU, LSTM and bi-LSTM Machine Learning Algorithms (2021)Equilibrium Bitcoin Pricing (2023)Noise Trader Risk in Financial Markets (1990)Investor Psychology and Security Market Under‐ and Overreactions (1998)Investor Sentiment and the Cross‐Section of Stock Returns (2006)In Search of Attention (2011)The short of it: Investor sentiment and anomalies (2011)Policy Uncertainty and Corporate Investment (2015)
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References

  • 2020Integración de los mercados financieros Latinoamericanos por medio de MILA3,764 cited
  • 1977Asset returns and inflation2,701 cited
  • 2010Is Gold a Hedge or a Safe Haven? An Analysis of Stocks, Bonds and Gold2,340 cited
  • 2015Bitcoin, gold and the dollar – A GARCH volatility analysis1,612 cited
  • 2018Risks and Returns of Cryptocurrency1,079 cited
  • 2020The contagion effects of the COVID-19 pandemic: Evidence from gold and cryptocurrencies895 cited
  • 2018Bitcoin is not the New Gold – A comparison of volatility, correlation, and portfolio performance846 cited
  • 2020Safe haven or risky hazard? Bitcoin during the Covid-19 bear market832 cited
  • 2018Dynamic connectedness and integration in cryptocurrency markets640 cited
  • 2011Does a Central Clearing Counterparty Reduce Counterparty Risk?600 cited
  • 2018Conditional Tail-Risk in Cryptocurrency Markets384 cited
  • 1984Hedging Performance and Basis Risk in Stock Index Futures364 cited
  • 1976THE “FISHER EFFECT” FOR RISKY ASSETS: AN EMPIRICAL INVESTIGATION357 cited
  • 2019High frequency volatility co-movements in cryptocurrency markets268 cited
  • 2018Bitcoin Futures—What use are they?258 cited

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  • 2020Pandemic-Related Financial Market Volatility Spillovers: Evidence from the Chinese COVID-19 Epicentre248 cited
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