Is geopolitical risk priced in the cross-section of cryptocurrency returns?

【Author】 Long, Huaigang; Demir, Ender; Bedowska-Sojka, Barbara; Zaremba, Adam; Shahzad, Syed Jawad Hussain

【Source】FINANCE RESEARCH LETTERS

【影响因子】9.848

【Abstract】We examine the role of geopolitical risk in the cross-sectional pricing of cryptocurrencies. We calculate cryptocurrency exposure to changes in the geopolitical risk index and document that coins with the lowest geopolitical beta outperform those with high geopolitical beta. Our findings suggest that risk-averse investors require additional compensation as motivation to hold cryptocurrencies with low and negative geopolitical betas, and they are willing to pay a premium for assets with high and positive geopolitical betas. The effect cannot be explained by known return predictors and is robust to many considerations.

【Keywords】Cryptocurrencies; The cross-section of returns; Asset pricing; Geopolitical risk; Return predictability

【发表时间】2022 OCT

【收录时间】2022-08-15

【文献类型】实证数据

【主题类别】

区块链治理-市场治理-市场分析