1,721,068 research outputs found
Research data for "Machine learning and the cross-section of cryptocurrency returns"
No full textLong-short machine learning portfolio returns for the full calendar years 2019-2022 from the study "Machine learning and the cross-section of cryptocurrency returns."</p
Research data for "Non-standard errors in the cryptocurrency world"
No full textSource data: an implementation for an example node from the paper "Non-standard errors in the cryptocurrency world."</p
Data for the study "Cryptocurrency Anomalies and Economic Constraints"
No full textThis file contains the time-series for the factors shown in Table 3 in "Cryptocurrency Anomalies and Economic Constraints", International Review of Financial Analysis, 94.103218.</p
Research data for "Return and volatility connectedness of the non-fungible tokens segments"
No full textTime-series data used in the paper "Return and volatility connectedness of the non-fungible tokens segments". The respective columns contain different series, as described in the paper. An open access version of the related publication is available at https://depot.ceon.pl/handle/123456789/22673.</p
Research data for: "Cryptocurrency factor momentum"
No full textCryptocurrency anomaly returns and the baseline factor momentum portfolio returns from the study.</p
Research data for "Cross-sectional interactions in cryptocurrency returns"
No full textEqual-weighted (ew) and value-weighted (vw) one-way sorted portfolio returns from the study.</p
The long-run reversal in the long run: Insights from two centuries of international equity returns
No full textWe perform the most comprehensive test of long-term reversal in national equity indices ever done. Having examined data from 71 countries for the years 1830 through 2019, we demonstrate a strong reversal pattern: the past long-term return negatively predicts future performance. The phenomenon is not subsumed by other established cross-sectional return patterns, including the value effect. The long-term reversal is robust to many considerations but highly unstable through time. Finally, our findings support the overreaction explanation of this anomaly.</p
Volatility in International Sovereign Bond Markets:: The role of government policy responses to the COVID-19 pandemic
No full textEffective government policies may reduce uncertainty in sovereign bond markets. Can policy responses help to curb bond market volatility during the COVID-19 pandemic? To answer this, we examine data from 31 developed and emerging markets during the coronavirus outbreak in 2020. We demonstrate that government interventions substantially reduce local sovereign bond volatility. The effect is mainly driven by economic support policies; the containment and closure regulations and health system interventions play no major role
Research data for "Is Geopolitical Risk Priced in the Cross-Section of Cryptocurrency Returns?"
No full textResearch data for the paper "Is Geopolitical Risk Priced in the Cross-Section of Cryptocurrency Returns?". Equal- and value-weighted returns on the examined portfolios. For details, please refer to the files.</p
Research data for the paper "Network connectedness of environmental attention—Green and dirty assets"
No full textKey time series underlying the calculations in the study "Network connectedness of environmental attention—Green and dirty assets". An open access version of the related articles is available at https://depot.ceon.pl/handle/123456789/22674.</p
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