5 papers
Crypto Pricing with Hidden Factors
Matthew Brigida
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…
Time-Varying Volatility of Bank Betas
Matt Brigida
Research has shown banks match interest income and expense betas, and thereby obtain net interest income margins which are insensitive to changes in short-term interest rates. The…
The Surprising Irrelevance of Total-Value-Locked on Cryptocurrency Returns
Matt Brigida
A common assumption in cryptocurrency markets is a positive relationship between total-value-locked (TVL) and cryptocurrency returns. To test this hypothesis we examine whether the…
Hedging Deposit Run Risk Prior to the 2023 Regional Banking Crisis
Matt Brigida, Kathleen Maceyka
In this analysis we determine factors driving the cross-sectional variation in uninsured deposits during the interest rate raising cycle of 2022 to 2023. The goal of our analysis i…
Real-Time Detection of Volatility in Liquidity Provision
Matthew Brigida
Previous research has found that high-frequency traders will vary the bid or offer price rapidly over periods of milliseconds. This is a benefit to fast traders who can time their…