We investigate the out-of-sample diversification benefits of cryptocurrencies from a generalised perspective, a cryptocurrency-factor level, with traditional and machine-learning-enhanced asset-allocation strategies. The cryptocurrency factor portfolios are formed in an analogous way to equity...

This paper examines stock returns by incorporating idiosyncratic volatility with the information contained inside the two channels of Baker and Wurgler (2006) in explaining investor sentiment effects on the cross-sectional returns. We provide empirical evidence to show that the joint effect of...

For 5,500 North American hedge funds following 11 different strategies, we analyse the stand-alone performance of these strategies using a stochastic discount factor approach. Employing the same data, we then consider the diversification benefits of each hedge fund strategy when combined with a...