This paper identifies three common risk factors in the returns on cryptocurrencies, which are related to cryptocurrency …

Standardabweichungen zu testen. Wir erweitern die bestehende Literatur, indem wir zahlreiche Charakteristika identifizieren, die Risiko und … to explain cryptocurrency risk and return. …

variations. We show that a hedged portfolio sorted on idiosyncratic diffusive risk yields a weekly return of -2.16%, suggesting … the existence of a low idiosyncratic risk anomaly. Subsequently, we examine possible explanations for this anomaly, and …

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 …

pricing perspective, we find little to no evidence against the World CAPM model, where the market consists out of equity …Corporate bond returns in the major developed economies increase with risk, as measured by maturity and ratings. From a …

, we use a new conditional-risk factor, which is a market timing strategy defined as the unexpected return on the market … times the ex ante price of risk. The factor is a powerful tool for documenting a global effect of conditional risk on stock … returns: across 23 developed countries, all major equity risk factors load on our conditional-risk factor with the right sign …

. Unlike the U.S. market, though, the information contained in the KS risk factor of these international markets does not … its level of net public wealth as proposed within the most recent World Inequality Report by Alvaredo et al. (2018) …

mainly driven by global tail risk rather than local tail risk. World fear is also priced in the crosssection of stock returns …We examine the pricing of tail risk in international stock markets. We find that the tail risk of different countries … is highly integrated. Introducing a new World Fear index, we find that local and global aggregate market returns are …