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Bitcoin beta premium and the cross-section of stock returns

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  • Goh, Jihoon
  • Jeong, Giho

Abstract

This paper studies the role of Bitcoin risk exposure in the cross-sectional pricing of stocks in the Korean stock market. We construct Bitcoin beta to measure each stock’s sensitivity to Bitcoin returns and examine its return predictability. Our empirical findings show that stocks with higher Bitcoin beta earn significantly higher future returns. The Fama-MacBeth regression results confirm that the Bitcoin beta premium remains significant after controlling for a range of firm characteristics and traditional risk factors. Moreover, we find that the premium becomes stronger following Bitcoin bull markets, suggesting that market conditions amplify the pricing of Bitcoin-related risk. Our study documents the importance of Bitcoin exposure as a priced risk factor and highlights the growing influence of cryptocurrency market dynamics in stock return predictability.

Suggested Citation

  • Goh, Jihoon & Jeong, Giho, 2026. "Bitcoin beta premium and the cross-section of stock returns," Finance Research Letters, Elsevier, vol. 89(C).
    • Handle: RePEc:eee:finlet:v:89:y:2026:i:c:s154461232502416x
    DOI: 10.1016/j.frl.2025.109167
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    References listed on IDEAS

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