Is geopolitical risk priced in the cross-section of cryptocurrency returns?

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dc.contributor.authorLong, Huaigang
dc.contributor.authorDemir, Ender
dc.contributor.authorBędowska-Sójka, Barbara
dc.contributor.authorZaremba, Adam
dc.contributor.authorShahzad, Syed Jawad Hussain
dc.contributor.organizationSchool of Finance, Zhejiang University of Finance and Economics, Chinaen
dc.contributor.organizationDepartment of Business Administration, School of Social Sciences, Reykjavik University, Icelanden
dc.contributor.organizationDepartment of Econometrics, Institute of Informatics and Quantitative Economics, Poznan University of Economics and Business, Polanden
dc.contributor.organizationMontpellier Business School, Montpellier, Franceen
dc.contributor.organizationDepartment of Investment and Financial Markets, Institute of Finance, Poznan University of Economics and Business, Polanden
dc.date.accessioned2023-06-27T12:42:54Z
dc.date.available2023-06-27T12:42:54Z
dc.date.issued2022
dc.description.abstractWe 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 motivation to hold cryptocurrencies with low and negative geopolitical betas, and they are willing to pay a premium for assets with high and positive geopolitical betas. The effect cannot be explained by known return predictors and is robust to many considerations.en
dc.description.sponsorshipNarodowe Centrum Nauki National Science Center of Poland [grant no. 2021/41/B/HS4/02443].
dc.identifier.citationHuaigang Long, Ender Demir, Barbara Będowska-Sójka, Adam Zaremba, Syed Jawad Hussain Shahzad, Is geopolitical risk priced in the cross-section of cryptocurrency returns?, Finance Research Letters, Volume 49, 2022, 103131, https://doi.org/10.1016/j.frl.2022.103131.en
dc.identifier.doi10.1016/j.frl.2022.103131
dc.identifier.urihttps://open.icm.edu.pl/handle/123456789/22622
dc.language.isoen
dc.rightsUznanie autorstwa 3.0 Polska*
dc.rights.urihttp://creativecommons.org/licenses/by/3.0/pl/*
dc.subjectcryptocurrenciesen
dc.subjectcross-section of returnsen
dc.subjectasset pricingen
dc.subjectgeopolitical risken
dc.subjectreturn predictabilityen
dc.titleIs geopolitical risk priced in the cross-section of cryptocurrency returns?en
dc.typearticleen
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