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q-fin.PR2026
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…
q-fin.PR2025
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…