... and crypto interchangeably. 2. Crypto valuation data are retrieved via R package crypto2 from CoinMarketCap. 3. Anti-fraud provisions are included in the Securities Act of 1933 and in the Securities Exchange Act of 1934. 4. Daily crypto asset prices are used also by Joo et al...

... of this article (for both commercial and non-commercial purposes), subject to full attribution to the original publication and authors. The full terms of this licence may be seen at http://creativecommons.org/licences/by/4.0/legalcode Stock market factors GDP growth Predictability Asset pricing...

... and profit margins. Researchers may consider incorporating concentration and efficiency, both of which are meaningful microeconomic variables, into an asset pricing model. Investors can enhance their returns by having a zero-cost portfolio with long and short positions in stocks of firms with different...

... stock indices to estimate the macroeconomic risk profiles and corresponding risk premiums. Using a seemingly unrelated regressions (SUR) model to estimate factor sensitivities, the authors document that LPE indices exhibit stock market βs that are greater than 1. A one-factor asset pricing...

... and weekly horizons. Originality/value Extant evidence on the risk-return relation is conflicting. Most papers assume the relation is time constant. Allowing the reward-to-variability ratio to vary through time in response to return regime uncertainty increases the understanding of asset pricing. It also...