Downside risk and the cross-section of cryptocurrency returns
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DOI: 10.1016/j.jbankfin.2021.106246
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- Burke, Matt & Fry, John & Kemp, Sean & Woodhouse, Drew, 2022. "Attention to Authority: The behavioural finance of Covid-19," Finance Research Letters, Elsevier, vol. 49(C).
- Milan Fičura, 2023. "Impact of size and volume on cryptocurrency momentum and reversal," FFA Working Papers 5.003, Prague University of Economics and Business, revised 05 Apr 2023.
- Liebi, Luca J., 2022. "Is there a value premium in cryptoasset markets?," Economic Modelling, Elsevier, vol. 109(C).
- Long, Huaigang & Demir, Ender & Będowska-Sójka, Barbara & Zaremba, Adam & Shahzad, Syed Jawad Hussain, 2022. "Is geopolitical risk priced in the cross-section of cryptocurrency returns?," Finance Research Letters, Elsevier, vol. 49(C).
- Leong, Minhao & Kwok, Simon, 2023. "The pricing of jump and diffusive risks in the cross-section of cryptocurrency returns," Journal of Empirical Finance, Elsevier, vol. 74(C).
- Li, Leon & Miu, Peter, 2023. "Are cryptocurrencies a safe haven for stock investors? A regime-switching approach," Journal of Empirical Finance, Elsevier, vol. 70(C), pages 367-385.
- Fieberg, Christian & Günther, Steffen & Poddig, Thorsten & Zaremba, Adam, 2024. "Non-standard errors in the cryptocurrency world," International Review of Financial Analysis, Elsevier, vol. 92(C).
- Feng, Wenjun & Zhang, Zhengjun, 2023. "Risk-weighted cryptocurrency indices," Finance Research Letters, Elsevier, vol. 51(C).
- Tan, Xilong & Tao, Yubo, 2023. "Trend-based forecast of cryptocurrency returns," Economic Modelling, Elsevier, vol. 124(C).
- Lee, Kangsan & Jeong, Daeyoung, 2023. "Too much is too bad: The effect of media coverage on the price volatility of cryptocurrencies," Journal of International Money and Finance, Elsevier, vol. 133(C).
- Li, Yi & Urquhart, Andrew & Wang, Pengfei & Zhang, Wei, 2021. "MAX momentum in cryptocurrency markets," International Review of Financial Analysis, Elsevier, vol. 77(C).
- Alexander, Carol & Deng, Jun & Feng, Jianfen & Wan, Huning, 2023. "Net buying pressure and the information in bitcoin option trades," Journal of Financial Markets, Elsevier, vol. 63(C).
- Apergis, Nicholas, 2023. "Realized higher-order moments spillovers across cryptocurrencies," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 85(C).
- Nuray Tosunoğlu & Hilal Abacı & Gizem Ateş & Neslihan Saygılı Akkaya, 2023. "Artificial neural network analysis of the day of the week anomaly in cryptocurrencies," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 9(1), pages 1-24, December.
- Carol Alexander & Jun Deng & Jianfen Feng & Huning Wan, 2021. "Net Buying Pressure and the Information in Bitcoin Option Trades," Papers 2109.02776, arXiv.org, revised Mar 2022.
- Sadaqat, Mohsin & Butt, Hilal Anwar, 2023. "Stop-loss rules and momentum payoffs in cryptocurrencies," Journal of Behavioral and Experimental Finance, Elsevier, vol. 39(C).
- Chen, Rongxin & Lepori, Gabriele M. & Tai, Chung-Ching & Sung, Ming-Chien, 2022. "Can salience theory explain investor behaviour? Real-world evidence from the cryptocurrency market," International Review of Financial Analysis, Elsevier, vol. 84(C).
- Yang, Jen-Wei & Chiu, Shih-Yung & Yen, Kuang-Chieh, 2023. "Does the realized distribution-based measure dominate particular moments? Evidence from cryptocurrency markets," Finance Research Letters, Elsevier, vol. 51(C).
- Abakah, Emmanuel Joel Aikins & Wali Ullah, GM & Adekoya, Oluwasegun B. & Osei Bonsu, Christiana & Abdullah, Mohammad, 2023. "Blockchain market and eco-friendly financial assets: Dynamic price correlation, connectedness and spillovers with portfolio implications," International Review of Economics & Finance, Elsevier, vol. 87(C), pages 218-243.
- Abdullah, Mohammad & Adeabah, David & Abakah, Emmanuel Joel Aikins & Lee, Chi-Chuan, 2023. "Extreme return and volatility connectedness among real estate tokens, REITs, and other assets: The role of global factors and portfolio implications," Finance Research Letters, Elsevier, vol. 56(C).
- Fang, Sheng & Cao, Guangxi & Egan, Paul, 2023. "Forecasting and backtesting systemic risk in the cryptocurrency market," Finance Research Letters, Elsevier, vol. 54(C).
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More about this item
Keywords
Cryptocurrency; Downside risk; Return predictability;All these keywords.
JEL classification:
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
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