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Common Risk Factors in Cryptocurrency
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What this work says
Outgoing claims: the papers this work cites, builds on, or argues with.
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The arbitrage theory of capital asset pricing
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The relationship between return and market value of common stocks
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Differential information and the small firm effect
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Common risk factors in the returns on stocks and bonds
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Costly arbitrage and the myth of idiosyncratic risk
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Digital Tulips? Returns to investors in initial coin offerings
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Conditional Tail-Risk in Cryptocurrency Markets
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Investor attention, overconfidence and category learning
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Maxing out: Stocks as lotteries and the cross-section of expected returns
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Currency momentum strategies
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RETRACTED: Common risk factors in the cross-section of corporate bond returns
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Trading and Arbitrage in Cryptocurrency Markets
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Left-tail momentum: Underreaction to bad news, costly arbitrage and equity returns
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Some simple bitcoin economics
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Can currency competition work?
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Trading activity and expected stock returns
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A model of investor sentiment1We are grateful to the NSF for financial support, and to Oliver Blanchard, Alon Brav, John Campbell (a referee), John Cochrane, Edward Glaeser, J.B. Heaton, Danny Kahneman, David Laibson, Owen Lamont, Drazen Prelec, Jay Ritter (a referee), Ken Singleton, Dick Thaler,…
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Idiosyncratic Volatility and the Cross Section of Expected Returns
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Risk, Return, and Equilibrium: Empirical Tests
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Dividends and Taxes: Some Empirical Evidence
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Noise Trader Risk in Financial Markets
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Liquidity Risk and Expected Stock Returns
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The Cross-Section of Risk and Returns
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Tokenomics: Dynamic Adoption and Valuation
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Risks and Returns of Cryptocurrency
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Investor Attention and Stock Market Volatility
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A Taxonomy of Anomalies and Their Trading Costs
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A Simple Estimation of Bid-Ask Spreads from Daily Close, High, and Low Prices
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Short and Long Horizon Behavioral Factors
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Investor Psychology and Security Market Under‐ and Overreactions
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A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets
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Bad News Travels Slowly: Size, Analyst Coverage, and the Profitability of Momentum Strategies
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Asset Prices and Trading Volume in a Beauty Contest
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Stock Valuation and Learning about Profitability
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Cryptocurrencies: Stylized facts on a new investible instrument
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A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market
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Does the Stock Market Overreact?
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The Cross-Section of Expected Stock Returns
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Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency
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Multifactor Explanations of Asset Pricing Anomalies
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Evidence on the Characteristics of Cross Sectional Variation in Stock Returns
inferredcites →https://doi.org/10.1111/j.1540-6261.1997.tb03807.xopenalex-snapshot
The Limits of Arbitrage
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The Delisting Bias in CRSP Data
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The 52‐Week High and Momentum Investing
inferredcites →https://doi.org/10.1111/j.1540-6261.2005.00750.xopenalex-snapshot
Does Idiosyncratic Risk Really Matter?
inferredcites →https://doi.org/10.1111/j.1540-6261.2006.00836.xopenalex-snapshot
The Cross‐Section of Volatility and Expected Returns
inferredcites →https://doi.org/10.1111/j.1540-6261.2009.01469.xopenalex-snapshot
Trading Costs and Returns for U.S. Equities: Estimating Effective Costs from Daily Data
inferredcites →https://doi.org/10.1111/j.1540-6261.2009.01512.xopenalex-snapshot
International Stock Return Comovements
inferredcites →https://doi.org/10.1111/jofi.12096openalex-snapshot
An Anatomy of Commodity Futures Risk Premia
inferredcites →https://doi.org/10.1111/jofi.12286openalex-snapshot
Arbitrage Asymmetry and the Idiosyncratic Volatility Puzzle
inferredcites →https://doi.org/10.1111/jofi.12365openalex-snapshot
Does Academic Research Destroy Stock Return Predictability?
inferredcites →https://doi.org/10.1111/jofi.12883openalex-snapshot
Taming the Factor Zoo: A Test of New Factors
inferredcites →https://doi.org/10.1214/009053605000000084openalex-snapshot
Generalizations of the familywise error rate
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Explaining Momentum and Value Simultaneously
inferredcites →https://doi.org/10.2139/ssrn.3142022openalex-snapshot
An Equilibrium Valuation of Bitcoin and Decentralized Network Assets
inferredcites →https://doi.org/10.2139/ssrn.3264448openalex-snapshot
Bitcoin As Decentralized Money: Prices, Mining Rewards, and Network Security
inferredcites →https://doi.org/10.2139/ssrn.976394openalex-snapshot
A Tale of Two Anomalies: The Implications of Investor Attention for Price and Earnings Momentum
inferredcites →https://doi.org/10.2307/1913625openalex-snapshot
A Test of the Efficiency of a Given Portfolio
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Cryptocurrencies, Currency Competition, and the Impossible Trinity
What points at this work
Incoming claims: where this work appears in other papers’ reference lists and arguments.
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Cryptocurrency momentum: Is it an illusion?
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Does Crypto HODL Culture Make Sense?
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Multi-agent deep reinforcement learning for arbitrage in decentralized exchanges
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Dangerous Liaisons: Cryptocurrency and Financial Intermediation
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Composite Leading Indicators and Cryptocurrency Returns: A Three-Factor Model
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Volume Versus Returns: Reevaluating the Predictive Power of Salience Theory in the Cryptocurrency Market
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Risk analyses of the crypto-market: A literature review
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Embracing the Future or Buying into the Bubble: Do Sophisticated Institutions Invest in Crypto Assets?
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Composite Leading Indicator and Cryptocurrency Returns: A Three-Factor Model
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Cryptocurrency Volume-Weighted Time Series Momentum
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Bayesian Forecasting of Value‐at‐Risk and Expected Shortfall in Cryptocurrency Markets: A Nonlinear Semi‐Parametric Framework
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An empirical investigation on risk factors in cryptocurrency futures
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Facts and Fantasies About DeFi: Lending, DEX, and Derivatives
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Cryptocurrency Momentum: Is It an Illusion?
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Kryptonite for Cryptocurrencies? What Are the Effects of Regulatory Controls on Bitcoin Returns and Volatility?
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An Investigation of the Relationship Between Central Bank Unconventional Monetary Policy and Bitcoin Activity
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The Impact of Geopolitical Risk and Uncertainty on Cryptocurrency: Evidence from the Russia‐Ukraine War
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Economic policy uncertainty and the Kimchi premium in the cryptocurrency market
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Portfolio Management with Alternative Investments
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Disclosure in Initial Coin Offerings
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Artificial Intelligence (AI), Blockchain, and Cryptocurrency in Finance: Current Scenario and Future Direction
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A Stochastic Model for Cryptocurrencies in Illiquid Markets with Extreme Conditions and Structural Changes
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Investor Sentiment and Efficiency of the Cryptocurrency Market: The Case of the Crypto Fear & Greed Index
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Prediction of Ethereum Prices Based on Blockchain Information in an Industrial Finance System Using Machine Learning Techniques
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Portfolio Management with Alternative Investments
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Disclosure in Initial Coin Offerings
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Navigating Crypto in Football: Uncovering Assets, Overcoming Challenges, and Crafting Strategic Recommendations
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Research into an Alternative Method of Utilization of Associated Petroleum Gas
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K-Means Adaptive Channels for Mean Reversion Trading in Cryptocurrency Markets
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Cryptocurrencies as a Financial Asset: An Empirical Analysis
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Blockchain, Cryptocurrency, and Artificial Intelligence in Finance
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The Efficiency of Momentum Factors in Cryptocurrency
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A Fuzzy BWM and MARCOS Integrated Framework with Heronian Function for Evaluating Cryptocurrency Exchanges: A Case Study of Türkiye
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The risk-return dynamics of corporate cryptocurrency adoption: evidence from bitcoin holdings
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Price divergence in bitcoin market
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Design and valuation of cryptocurrencies
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Momentum: what do we know 30 years after Jegadeesh and Titman’s seminal paper?
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Cryptocurrency momentum has (not) its moments
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Trend-based forecast of cryptocurrency returns
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Seasonality in the Cross-Section of Cryptocurrency Returns
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Low-volatility strategies for highly liquid cryptocurrencies
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inferred← citeshttps://doi.org/10.1016/j.frl.2023.104182openalex-snapshot
Cryptocurrency return dependency and economic policy uncertainty
inferred← citeshttps://doi.org/10.1016/j.frl.2023.104196openalex-snapshot
Cryptocurrency Momentum and VIX premium
inferred← citeshttps://doi.org/10.1016/j.frl.2023.104363openalex-snapshot
Does realized skewness predict the cross-section of Chinese stock returns?
inferred← citeshttps://doi.org/10.1016/j.frl.2023.104672openalex-snapshot
Environmental attention and uncertainties of cryptocurrency market: Examining linkages with crypto-mining stocks
inferred← citeshttps://doi.org/10.1016/j.frl.2023.104955openalex-snapshot
A comparative analysis of the price explosiveness in Bitcoin and forked coins
inferred← citeshttps://doi.org/10.1016/j.frl.2024.105295openalex-snapshot
On co-dependent power-law behavior across cryptocurrencies
inferred← citeshttps://doi.org/10.1016/j.frl.2024.105485openalex-snapshot
Common factors in the returns on cryptocurrencies
inferred← citeshttps://doi.org/10.1016/j.frl.2024.106136openalex-snapshot
Revolutionizing Bitcoin price forecasts: A comparative study of advanced hybrid deep learning architectures
inferred← citeshttps://doi.org/10.1016/j.frl.2024.106309openalex-snapshot
Prototyping to address cognitive gaps in Distributed Ledger investments
inferred← citeshttps://doi.org/10.1016/j.frl.2024.106437openalex-snapshot
Are cryptocurrencies priced in the cross-section? A portfolio approach
inferred← citeshttps://doi.org/10.1016/j.frl.2024.106508openalex-snapshot
Wish or reality? On the exploitability of triangular arbitrage in cryptocurrency markets
inferred← citeshttps://doi.org/10.1016/j.frl.2024.106531openalex-snapshot
Do risk preferences drive momentum in cryptocurrencies?
inferred← citeshttps://doi.org/10.1016/j.frl.2025.107194openalex-snapshot
‘Crypto president’: Do narrative political signals drive cryptocurrency returns?
inferred← citeshttps://doi.org/10.1016/j.frl.2025.107747openalex-snapshot
Do whitepapers matter? Investigating the long-term effects of cryptocurrency whitepapers
inferred← citeshttps://doi.org/10.1016/j.frl.2025.107800openalex-snapshot
New behaviorally-based cross-sectional reversal portfolios in the cryptocurrency market and market uncertainty
inferred← citeshttps://doi.org/10.1016/j.frl.2025.107879openalex-snapshot
Cryptocurrency market risk-managed momentum strategies
inferred← citeshttps://doi.org/10.1016/j.frl.2025.108187openalex-snapshot
Liquidity commonality in cryptocurrencies
inferred← citeshttps://doi.org/10.1016/j.frl.2025.108356openalex-snapshot
State transitions and momentum effect in cryptocurrency market
inferred← citeshttps://doi.org/10.1016/j.frl.2025.108964openalex-snapshot
What happens when stablecoins are introduced? Evidence from short-term funding market
inferred← citeshttps://doi.org/10.1016/j.frl.2026.109602openalex-snapshot
On survivor cryptocurrency momentum
inferred← citeshttps://doi.org/10.1016/j.frl.2026.109913openalex-snapshot
Beyond the random walk: Asymmetric and cross-correlated dynamics in cryptocurrencies
inferred← citeshttps://doi.org/10.1016/j.frl.2026.110053openalex-snapshot
Trade policy uncertainty, mining costs, and bitcoin prices
inferred← citeshttps://doi.org/10.1016/j.frl.2026.110195openalex-snapshot
Dependence in cryptocurrencies: A Partial correlation connectedness approach
inferred← citeshttps://doi.org/10.1016/j.frl.2026.110300openalex-snapshot
Option positions, non-momentum trading, and Bitcoin futures returns
inferred← citeshttps://doi.org/10.1016/j.frl.2026.110488openalex-snapshot
Crypto pricing with hidden factors
inferred← citeshttps://doi.org/10.1016/j.frl.2026.110549openalex-snapshot
Bitcoin’s diversification benefits in the ETF era: The role of liquidity and ETF net flows
inferred← citeshttps://doi.org/10.1016/j.frl.2026.110744openalex-snapshot
Did spot crypto ETFs reallocate venue liquidity? Fragile evidence
inferred← citeshttps://doi.org/10.1016/j.frl.2026.110831openalex-snapshot
Investor regret and cryptocurrency returns
inferred← citeshttps://doi.org/10.1016/j.frl.2026.110859openalex-snapshot
Volatility of Liquidity and Cross-Section of Cryptocurrency Returns
inferred← citeshttps://doi.org/10.1016/j.gfj.2024.101029openalex-snapshot
Consumer confidence and cryptocurrency excess returns: A three-factor model
inferred← citeshttps://doi.org/10.1016/j.heliyon.2021.e07539openalex-snapshot
A short-and long-term analysis of the nexus between Bitcoin, social media and Covid-19 outbreak
inferred← citeshttps://doi.org/10.1016/j.im.2026.104410openalex-snapshot
Beyond speculation: Explaining the intention to use cryptocurrency
inferred← citeshttps://doi.org/10.1016/j.intfin.2022.101599openalex-snapshot
Explaining cryptocurrency returns: A prospect theory perspective
inferred← citeshttps://doi.org/10.1016/j.intfin.2022.101629openalex-snapshot
The role of media coverage in the bubble formation: Evidence from the Bitcoin market
inferred← citeshttps://doi.org/10.1016/j.intfin.2022.101687openalex-snapshot
Time-varying dependence between Bitcoin and green financial assets: A comparison between pre- and post-COVID-19 periods
inferred← citeshttps://doi.org/10.1016/j.intfin.2023.101788openalex-snapshot
Blockchain characteristics and cryptocurrency returns
inferred← citeshttps://doi.org/10.1016/j.intfin.2023.101920openalex-snapshot
Not all words are equal: Sentiment and jumps in the cryptocurrency market
inferred← citeshttps://doi.org/10.1016/j.intfin.2024.101957openalex-snapshot
Someone like you: Lottery-like preference and the cross-section of expected returns in the cryptocurrency market
inferred← citeshttps://doi.org/10.1016/j.intfin.2024.101974openalex-snapshot
Macroeconomic momentum and cross-sectional equity market indices
inferred← citeshttps://doi.org/10.1016/j.intfin.2024.102093openalex-snapshot
The crypto collapse chronicles: Decoding cryptocurrency exchange defaults
inferred← citeshttps://doi.org/10.1016/j.intfin.2025.102123openalex-snapshot
Managing cryptocurrency risk exposures in equity portfolios: Evidence from high-frequency data
inferred← citeshttps://doi.org/10.1016/j.intfin.2025.102134openalex-snapshot
Multidimensional information spillover between cryptocurrencies and China’s financial markets under shocks from stringent government regulations
inferred← citeshttps://doi.org/10.1016/j.intfin.2026.102285openalex-snapshot
Predictive sorting of cryptocurrencies based on fundamentals and sentiment
inferred← citeshttps://doi.org/10.1016/j.intfin.2026.102377openalex-snapshot
Cryptocurrency investors’ herding and overconfidence: evidence from compounded uncertainty shocks
inferred← citeshttps://doi.org/10.1016/j.intfin.2026.102405openalex-snapshot
How the cryptocurrency market is connected to the financial market
inferred← citeshttps://doi.org/10.1016/j.iref.2023.03.013openalex-snapshot
Interconnectedness between healthcare tokens and healthcare stocks: Evidence from a quantile VAR approach
inferred← citeshttps://doi.org/10.1016/j.iref.2023.04.028openalex-snapshot
Blockchain market and eco-friendly financial assets: Dynamic price correlation, connectedness and spillovers with portfolio implications
inferred← citeshttps://doi.org/10.1016/j.iref.2023.06.029openalex-snapshot
What can we learn from the convenience yield of Bitcoin? Evidence from the COVID-19 crisis
inferred← citeshttps://doi.org/10.1016/j.iref.2024.103733openalex-snapshot
Revisiting the determinants of cryptocurrency excess return: Does scarcity matter?
inferred← citeshttps://doi.org/10.1016/j.iref.2025.104635openalex-snapshot
Cryptocurrency price-based comovement
inferred← citeshttps://doi.org/10.1016/j.iref.2026.105531openalex-snapshot
Institutionalization without integration: Bitcoin after the spot ETF
inferred← citeshttps://doi.org/10.1016/j.irfa.2021.101829openalex-snapshot
MAX Momentum in Cryptocurrency Markets
inferred← citeshttps://doi.org/10.1016/j.irfa.2022.102216openalex-snapshot
Cryptocurrency returns under empirical asset pricing
inferred← citeshttps://doi.org/10.1016/j.irfa.2022.102335openalex-snapshot
Industry herding in crypto assets
inferred← citeshttps://doi.org/10.1016/j.irfa.2022.102419openalex-snapshot
Can salience theory explain investor behaviour? Real-world evidence from the cryptocurrency market
inferred← citeshttps://doi.org/10.1016/j.irfa.2023.102712openalex-snapshot
Good Volatility, Bad Volatility, and the Cross Section of Cryptocurrency Returns
inferred← citeshttps://doi.org/10.1016/j.irfa.2023.102759openalex-snapshot
On the topology of cryptocurrency markets
inferred← citeshttps://doi.org/10.1016/j.irfa.2023.102914openalex-snapshot
Machine learning approaches to forecasting cryptocurrency volatility: Considering internal and external determinants
inferred← citeshttps://doi.org/10.1016/j.irfa.2023.102947openalex-snapshot
Is Downside Risk Priced In Cryptocurrency Market?
inferred← citeshttps://doi.org/10.1016/j.irfa.2024.103106openalex-snapshot
Non-standard errors in the cryptocurrency world
inferred← citeshttps://doi.org/10.1016/j.irfa.2024.103218openalex-snapshot
Cryptocurrency anomalies and economic constraints
inferred← citeshttps://doi.org/10.1016/j.irfa.2024.103244openalex-snapshot
Machine Learning and the Cross-Section of Cryptocurrency Returns
inferred← citeshttps://doi.org/10.1016/j.irfa.2024.103626openalex-snapshot
Skewness risk and the cross-section of cryptocurrency returns
inferred← citeshttps://doi.org/10.1016/j.irfa.2024.103809openalex-snapshot
Cross-sectional interactions in cryptocurrency returns
inferred← citeshttps://doi.org/10.1016/j.irfa.2025.104174openalex-snapshot
What determines Bitcoin's price over the past decade?
inferred← citeshttps://doi.org/10.1016/j.irfa.2025.104321openalex-snapshot
Can cryptocurrency or gold rescue BRICS stocks amid the Russia-Ukraine conflict?
inferred← citeshttps://doi.org/10.1016/j.irfa.2025.104389openalex-snapshot
Risk factors in cryptocurrency pricing
inferred← citeshttps://doi.org/10.1016/j.irfa.2026.105136openalex-snapshot
The Crypto Risk Composite Index (CCRI)-advancing risk management in the digital asset space
inferred← citeshttps://doi.org/10.1016/j.irfa.2026.105197openalex-snapshot
Bitcoin returns and volume: Uncovering investor sentiment through topic modeling
inferred← citeshttps://doi.org/10.1016/j.irfa.2026.105226openalex-snapshot
A game-theoretic model of cryptocurrencies, fiat currencies and assets
inferred← citeshttps://doi.org/10.1016/j.irfa.2026.105355openalex-snapshot
Does geopolitical risk matter for cryptocurrencies?
inferred← citeshttps://doi.org/10.1016/j.jbankfin.2020.106041openalex-snapshot
How to measure the liquidity of cryptocurrency markets?
inferred← citeshttps://doi.org/10.1016/j.jbankfin.2021.106246openalex-snapshot
Downside risk and the cross-section of cryptocurrency returns
inferred← citeshttps://doi.org/10.1016/j.jbankfin.2022.106547openalex-snapshot
Trading volume and liquidity provision in cryptocurrency markets
inferred← citeshttps://doi.org/10.1016/j.jbankfin.2022.106622openalex-snapshot
Loaded for bear: Bitcoin private wallets, exchange reserves and prices
inferred← citeshttps://doi.org/10.1016/j.jbankfin.2023.107052openalex-snapshot
Salience theory and cryptocurrency returns
inferred← citeshttps://doi.org/10.1016/j.jbankfin.2025.107411openalex-snapshot
Returns from Liquidity Provision in Cryptocurrency Markets
inferred← citeshttps://doi.org/10.1016/j.jbankfin.2025.107419openalex-snapshot
Cybercrime on the ethereum blockchain
inferred← citeshttps://doi.org/10.1016/j.jbankfin.2025.107518openalex-snapshot
Social media-based attention and the cross-section of cryptocurrency returns
inferred← citeshttps://doi.org/10.1016/j.jbankfin.2025.107592openalex-snapshot
Psychological anchoring effect and cross section of cryptocurrency returns
inferred← citeshttps://doi.org/10.1016/j.jbankfin.2026.107717openalex-snapshot
Financial uncertainty and the cross-section of cryptocurrency returns
inferred← citeshttps://doi.org/10.1016/j.jbankfin.2026.107750openalex-snapshot
Predicting cryptocurrency returns with vision transformers: A look-ahead bias-free approach
inferred← citeshttps://doi.org/10.1016/j.jbankfin.2026.107832openalex-snapshot
Fundamental Sentiment and Cryptocurrency Risk Premia
inferred← citeshttps://doi.org/10.1016/j.jbef.2023.100812openalex-snapshot
Predictability of crypto returns: The impact of trading behavior
inferred← citeshttps://doi.org/10.1016/j.jbef.2023.100833openalex-snapshot
Stop-loss rules and momentum payoffs in cryptocurrencies
inferred← citeshttps://doi.org/10.1016/j.jbef.2024.100904openalex-snapshot
Examining the bidirectional ripple effects in the NFT markets: Risky center or hedging center?
inferred← citeshttps://doi.org/10.1016/j.jbef.2024.100991openalex-snapshot
Google search and cross-section of cryptocurrency returns and trading activities
inferred← citeshttps://doi.org/10.1016/j.jbef.2025.101059openalex-snapshot
Fear of missing out and cryptocurrency miners: Evidence from Dogecoin and Litecoin
inferred← citeshttps://doi.org/10.1016/j.jbef.2025.101097openalex-snapshot
Bias in cryptocurrency investing: The effect of financial and moral considerations
inferred← citeshttps://doi.org/10.1016/j.jbef.2026.101149openalex-snapshot
Where is the risk? How cryptocurrency investment relates to undesirable financial behaviors
inferred← citeshttps://doi.org/10.1016/j.jbef.2026.101183openalex-snapshot
Tuning into the news: Sentiment-driven high-frequency movements in cryptocurrency markets
inferred← citeshttps://doi.org/10.1016/j.jbusvent.2024.106450openalex-snapshot
Financing decentralized digital platform growth: The role of crypto funds in blockchain-based startups
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