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| Verfasst von: | LIU, YUKUN |
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| | TSYVINSKI, ALEH |
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| | WU, XI |
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| Titel: | Common Risk Factors in Cryptocurrency |
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| Verlagsort: | Cambridge |
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| Verlag: | Blackwell Publishers Inc |
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| Jahr: | 2022 |
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| Umfang: | 45 S. |
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| Fussnoten: | The Journal of Finance ; Yukun Liu is with the Simon Business School, University of Rochester. Aleh Tsyvinski is with Yale University and NBER. Xi Wu is with the Haas School of Business, University of California at Berkeley. We would like to thank Stefan Nagel (the Editor), two anonymous referees, and an anonymous Associate Editor for their insightful comments and suggestions. We also thank Nicola Borri, Markus Brunnermeier, Kent Daniel, Zhiguo He, Andrew Karolyi, Alan Kwan, Ye Li, Nikolai Roussanov, Jinfei Sheng, Michael Sockin, Harald Uhlig, and Jessica Wachter for their comments. We are grateful to Colton Conley, Dean Li, and Na Mo for their excellent research assistance. We thank Kent Daniel and Lin Sun for sharing their Daniel‐Hirshleifer‐Sun (DHS) factor data with us. We have read ; disclosure policy and have no conflicts of interest to disclose. |
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| Inhalt: | ABSTRACT
We find that three factors—cryptocurrency market, size, and momentum—capture the cross‐sectional expected cryptocurrency returns. We consider a comprehensive list of price‐ and market‐related return predictors in the stock market and construct their cryptocurrency counterparts. Ten cryptocurrency characteristics form successful long‐short strategies that generate sizable and statistically significant excess returns, and we show that all of these strategies are accounted for by the cryptocurrency three‐factor model. Lastly, we examine potential underlying mechanisms of the cryptocurrency size and momentum effects. |
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| ISSN: | 0022-1082 |
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| Titel Quelle: | The Journal of finance (New York) |
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| Jahr Quelle: | 2022 |
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| Band/Heft Quelle: | 77, 2, S. 1133-1177 |
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| DOI: | doi:10.1111/jofi.13119 |
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| URL: | http://www.ub.uni-heidelberg.de/cgi-bin/edok?dok=https%3A%2F%2Ffanyv88.com%3A443%2Fhttps%2Fonlinelibrary.wiley.com%2Fdoi%2Fabs%2F10.1111%2Fjofi.1311 ... |
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| | http://www.ub.uni-heidelberg.de/cgi-bin/edok?dok=https%3A%2F%2Ffanyv88.com%3A443%2Fhttps%2Fsearch.proquest.com%2Fdocview%2F2640973993 |
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| | DOI: https://doi.org/10.1111/jofi.13119 |
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| Sprache: | English |
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| Sach-SW: | Digital currencies |
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| | Risk exposure |
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| | Risk factors |
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| | Securities markets |
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| Verknüpfungen: | → Sammelwerk |
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