... at Link to the terms of the CC BY 4.0 licence . Cryptocurrency Asset pricing Factor model Size Reversal Illiquidity G10 G11 G12 G40 Since its emergence in 2009 as an open-source digital currency, Bitcoin has sparked the creation and launch of numerous cryptocurrencies built...

... G12 G13 G14 G15 G40 L17 Cryptocurrencies are digital currencies that utilize blockchain, decentralization and cryptography technology, with Bitcoin being the most popular among investors. In the wake of the 2008 financial crisis, the public's trust in banks and centralized financial...

... Expected return Asset pricing puzzle G12 G14 G40 Whether a stock's expected return depends on idiosyncratic volatility is an unresolved asset pricing puzzle (Hou & Loh, 2016). Traditional asset pricing theories predict either no relation between idiosyncratic volatility and expected...