Dissecting Time-Varying Risk Exposures in Cryptocurrency Markets
“The main empirical results suggest that cryptocurrencies are not systematically exposed to stock market factors, precious metal commodities or supply factors with the exception of some occasional spikes of the coecients during our sample.”
AssetCryptospot crypto
StrategyMomentumnews sentiment
TechniqueLinear factor model
GeographyEurope
Also stated: Sharpe ratio, Text and news
Missing from abstract: benchmark, out-of-sample test, costs, multiple testing, universe
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The paper's neighbourhoodMomentum and trend following by year
FamilyMomentum and trend following289Factor investing240Machine learning return prediction153News sentiment and text signals14818 more · 854
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