【Author】
Leong, Minhao; Kwok, Simon
【Source】JOURNAL OF EMPIRICAL FINANCE
【Abstract】In this study, we investigate the pricing of risks in the cross-section of cryptocurrency returns. In doing so, we decompose total variations into systematic and idiosyncratic components, as well as differentiate jumps from diffusive variations. We show that a hedged portfolio sorted on idiosyncratic diffusive risk yields a weekly return of -1.11%, suggesting the existence of a low idiosyncratic risk anomaly. Subsequently, we examine explanations for this anomaly, and show that limits to arbitrage prevent arbitrageurs from fully correcting the mispricing.
【Keywords】Cryptocurrency asset pricing; Jumps; Limits to arbitrage
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