加密货币是横截面定价的吗？投资组合方法

IF 7.4 2区经济学 Q1 BUSINESS, FINANCE

Finance Research Letters Pub Date : 2024-11-16 DOI:10.1016/j.frl.2024.106437

Vincent K. Assamoi , Adelphe Ekponon , Zihan Guo

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引用次数: 0

摘要

我们使用投资组合排序法来研究加密货币回报与其他资产类别的联系。利用 2014 年 9 月至 2021 年 6 月期间市值最高的 110 种加密货币，我们考虑了 23 个金融和不确定性因素。我们发现，加密货币与不确定性、股票市场、外汇和贵金属的衡量标准关系密切。我们的研究结果提供了加密货币通过投资组合排序与其他资产相关的证据，补充了与加密货币市场本身相关的因素可以解释其价格的研究。

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Are cryptocurrencies priced in the cross-section? A portfolio approach

We use portfolio sorting to examine cryptocurrency returns in connection to other asset classes. Using the 110 cryptocurrencies with the highest market capitalization from September 2014 to June 2021, we consider 23 financial and uncertainty factors. We find that cryptocurrencies have a strong relationship with measures of uncertainty, equity markets, foreign exchange, and precious metals. Our results provide evidence that cryptocurrencies are related to other assets through portfolio sorting, complementing studies that have found that factors related to the cryptocurrency market itself can explain their prices.

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来源期刊

Finance Research Letters BUSINESS, FINANCE-

CiteScore

11.10

自引率

14.40%

发文量

863

期刊介绍： Finance Research Letters welcomes submissions across all areas of finance, aiming for rapid publication of significant new findings. The journal particularly encourages papers that provide insight into the replicability of established results, examine the cross-national applicability of previous findings, challenge existing methodologies, or demonstrate methodological contingencies. Papers are invited in the following areas: Actuarial studies Alternative investments Asset Pricing Bankruptcy and liquidation Banks and other Depository Institutions Behavioral and experimental finance Bibliometric and Scientometric studies of finance Capital budgeting and corporate investment Capital markets and accounting Capital structure and payout policy Commodities Contagion, crises and interdependence Corporate governance Credit and fixed income markets and instruments Derivatives Emerging markets Energy Finance and Energy Markets Financial Econometrics Financial History Financial intermediation and money markets Financial markets and marketplaces Financial Mathematics and Econophysics Financial Regulation and Law Forecasting Frontier market studies International Finance Market efficiency, event studies Mergers, acquisitions and the market for corporate control Micro Finance Institutions Microstructure Non-bank Financial Institutions Personal Finance Portfolio choice and investing Real estate finance and investing Risk SME, Family and Entrepreneurial Finance