We examine the relation between cryptocurrency returns and two blockchain characteristics, computing power and network size. We show that cryptocurrency prices are cointegrated with computing power and network. Further, cryptocurrency returns have positive and significant risk exposures to...

We examine whether blockchain characteristics such as network size and computing power affect cryptocurrency prices and returns. Consistent with theoretical models, cryptocurrency prices are cointegrated with these two blockchain characteristics. Further, a stochastic discount factor with...

We examine the impact of culture on portfolio decisions and asset returns, focusing on the large and growing Hispanic population in the United States. We find that both retail and institutional investors in high Hispanic neighborhoods overweight local, lottery-type, and high-momentum stocks and...

This paper challenges the view that alternative consumption measures (garbage, fourth quarter, unfiltered consumption) can address the shortcomings of consumption-based asset pricing. When the CRRA model is confronted with the cross-section of asset returns and the risk-free rate volatility, the...

We investigate the empirical implications of the investment-based model of asset pricing for the Hansen-Jagannathan and Kozak-Nagel-Santosh discount factors in the linear span of equity returns. Our methodology is based on the equivalence between investment and equity returns implied by the...