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Cross-Sectional Properties of Cryptocurrency Returns

2021/41/B/HS4/02443

Keywords:

cryptocurrencies cross-section of returns asset pricing anomalies on the financial markets market premium,

Descriptors:

  • HS4_006:

Panel:

HS4 - Individuals, institutions, markets: economics, finance, management, demography, social and economic geography, urban studies

Host institution :

Uniwersytet Ekonomiczny w Poznaniu, Instytut Informatyki i Ekonomii Ilościowej

woj. wielkopolskie

Other projects carried out by the institution 

Principal investigator (from the host institution):

dr hab. Barbara Zofia Będowska-Sójka 

Number of co-investigators in the project: 3

Call: OPUS 21 - announced on 2021-03-15

Amount awarded: 483 212 PLN

Project start date (Y-m-d): 2022-01-26

Project end date (Y-m-d): 2026-01-25

Project duration:: 48 months (the same as in the proposal)

Project status: Pending project

Project description

Download the project description in a pdf file

Note - project descriptions were prepared by the authors of the applications themselves and placed in the system in an unchanged form.

Information in the final report

  • Publication in academic press/journals (13)
  1. Machine learning and the cross-section of cryptocurrency returns
    Authors:
    Nusret Cakici, Syed Jawad Hussain Shahzad, Barbara Będowska-Sójka, Adam Zaremba
    Academic press:
    International Review of Financial Analysis (rok: 2024, tom: 94, strony: 103244), Wydawca: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.irfa.2024.103244 - link to the publication
  2. Cryptocurrency factor momentum
    Authors:
    Christian Fieberg, Gerrit Liedtke, Daniel Metko, Adam Zaremba
    Academic press:
    Quantitative Finance (rok: 2023, tom: 23(12), strony: 1853-1869), Wydawca: Taylor & Francis
    Status:
    Published
    DOI:
    10.1080/14697688.2023.2269999 - link to the publication
  3. Do Investors in Dirty and Clean Cryptocurrencies Care about Energy Efficiency in the Same Way?
    Authors:
    Barbara Będowska-Sójka, Agata Kliber
    Academic press:
    Finance Research Letters (rok: 2024, tom: 105852, strony: 45673), Wydawca: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.frl.2024.105852 - link to the publication
  4. Uncertainty and Cryptocurrency Returns: A Lesson from Turbulent Times
    Authors:
    Będowska-Sójka Barbara, Joanna Górka, Danial Hemmings, Adam Zaremba
    Academic press:
    International Review of Financial Analysis (rok: 2024, tom: 94, strony: 45674), Wydawca: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.irfa.2024.103330 - link to the publication
  5. Non-standard errors in the cryptocurrency world
    Authors:
    Christian Fieberg, Steffen Gunther, Thorsten Poddig, Adam Zaremba
    Academic press:
    International Review of Financial Analysis (rok: 2024, tom: 92, strony: 103106), Wydawca: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.irfa.2024.103106 - link to the publication
  6. Return and volatility connectedness of the non-fungible tokens segments
    Authors:
    Zaghum Umar, Wafa Alwahedi, Adam Zaremba, Xuan Vinh Vo,
    Academic press:
    Journal of Behavioral and Experimental Finance (rok: 2022, tom: 35, strony: 100692), Wydawca: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.jbef.2022.100692 - link to the publication
  7. Cross-sectional interactions in cryptocurrency returns
    Authors:
    Aleksander Mercik, Barbara Będowska-Sójka, Sitara Karim, Adam Zaremba
    Academic press:
    International Review of Financial Analysis (rok: 2024, tom: 97, strony: 103809), Wydawca: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.irfa.2024.103809 - link to the publication
  8. Cryptocurrency Anomalies and Economic Constraints
    Authors:
    Christian Fieberg, Gerrit Liedtke, Adam Zaremba
    Academic press:
    International Review of Financial Analysis (rok: 2024, tom: 94, strony: 103218), Wydawca: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.irfa.2024.103218 - link to the publication
  9. Hedging Geopolitical Risks with Different Asset Classes: A Focus on the Russian Invasion of Ukraine
    Authors:
    Barbara Będowska-Sójka, Ender Demir, Adam Zaremba
    Academic press:
    Finance Research Letters (rok: 2022, tom: 50, strony: 45665), Wydawca: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.frl.2022.103192 - link to the publication
  10. Has bitcoin been dethroned too quickly? The cryptocurrency return networks
    Authors:
    Będowska-Sójka B., Wójcik P., Giordano S.
    Academic press:
    Network Science (rok: 2024, tom: 13, strony: 45677), Wydawca: Cambridge University Press
    Status:
    Published
    DOI:
    10.1017/nws.2024.17 - link to the publication
  11. Can cryptocurrencies hedge oil price fluctuations? A pandemic perspective
    Authors:
    Barbara Będowska-Sójka, Agata Kliber
    Academic press:
    Energy Economics (rok: 2022, tom: 115, strony: 45673), Wydawca: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.eneco.2022.106360 - link to the publication
  12. Network connectedness of environmental attention-Green and dirty assets
    Authors:
    Zaghum Umar, Afsheen Abrar, Adam Zaremba, Tamara Teplova, Xuan Vinh Vo,
    Academic press:
    Finance Research Letters (rok: 2022, tom: 50, strony: 45669), Wydawca: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.frl.2022.103209 - link to the publication
  13. Is geopolitical risk priced in the cross-section of cryptocurrency returns?
    Authors:
    Huaigang Long, Ender Demir, Barbara Będowska-Sójka, Adam Zaremba, Syed Jawad Hussain Shahzad
    Academic press:
    Finance Research Letters (rok: 2022, tom: 49, strony: 45665), Wydawca: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.frl.2022.103192 - link to the publication

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