arXiv 12 Jan 2026 · q-fin.PR · publishedFinance research letters (2026)
arXiv:2601.07664 · PDF · DOI · OpenAlex · Extracted main text
We estimate risk premia in the cross-section of cryptocurrency returns using the Giglio-Xiu (2021) three-pass approach, allowing for omitted latent factors alongside observed stock-market and crypto-market factors. Using weekly data on a broad universe of large cryptocurrencies, we find that crypto expected returns load on both crypto-specific factors and selected equity-industry factors associated with technology and profitability, consistent with increased integration between crypto and traditional markets. In addition, we study non-tradable state variables capturing investor sentiment (Fear and Greed), speculative rotation (Altcoin Season Index), and security shocks (hacked value scaled by market capitalization), which are new to the literature. Relative to conventional Fama-MacBeth estimates, the latent-factor approach yields materially different premia for key factors, highlighting the importance of controlling for unobserved risks in crypto asset pricing.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Giglio, Stefano and Xiu, Dacheng Asset Pricing with Omitted Factors | 0.874 | 5 | 2 | 100% |
| 2 | Borri, Nicola and Massacci, Daniele and Rubin, Mirco and Ruzzi, Dario Crypto Risk Premia | 0.737 | 3 | 2 | 100% |
| 3 | Matthew Brigida (2025) The surprising irrelevance of total-value-locked on cryptocurrency returns self | 0.644 | 2 | 2 | 100% |
| 4 | Almeida, Caio and Grith, Maria and Miftachov, Ratmir and Wang, Zijin (2024) Risk Premia in the Bitcoin Market | 0.511 | 2 | 1 | 100% |
| 5 | Foley, Sean and Li, Simeng and Malloch, Hamish and Svec, Jiri (2022) What is the expected return on Bitcoin? Extracting the term structure of returns from options prices | 0.511 | 2 | 1 | 100% |
| 6 | Cochrane, John H (2005) Asset Pricing: Revised Edition | 0.405 | 1 | 1 | 100% |
| 7 | Fama, Eugene F. and MacBeth, James D Risk, Return, and Equilibrium: Empirical Tests | 0.405 | 1 | 1 | 100% |
| 8 | Liu, Yukun and Tsyvinski, Aleh Risks and Returns of Cryptocurrency | 0.405 | 1 | 1 | 100% |
| 9 | Shanken, Jay On the Estimation of Beta-Pricing Models | 0.405 | 1 | 1 | 100% |
| 10 | Fama, Eugene F and French, Kenneth R (1993) Common risk factors in the returns on stocks and bonds | 0.405 | 1 | 1 | 100% |
Showing the top 10 of 11 scored citations.