0561401 20250317091048.120220921235959.9 85124718548 000757709800001 10.1007/s10479-022-04568-9 27 s. P cav_un_epca*02508070254-5330334547-573Springer Microstructure noise Idiosyncratic volatility Expected returns Bitcoin Cryptocurrencies cav_un_auth*0377616 Bouri E. LB cav_un_auth*0256902 Krištoufek Ladislav UTIA-B Ekonometrie Department of Econometrics E E Department of Econometrics CZ Ústav teorie informace a automatizace AV ČR, v. v. i. cav_un_auth*0442576 Ahmad T. PK cav_un_auth*0377615 Shahzad S. J. H. FR http://library.utia.cas.cz/separaty/2024/E/kristoufek-0561401.pdf https://link.springer.com/article/10.1007/s10479-022-04568-9 GA20-17295S GA ČR cav_un_auth*0397556 Cryptocurrencies have been historically characterised by large price swings and inherent volatility at a much higher scale than traditional financial assets. Understanding the underlying mechanisms and whether, or how, these are priced in through possible risk premia is crucial to bringing cryptocurrencies closer to mainstream financial markets. Using data on 1982 cryptocurrencies form January 1, 2015 till September 30, 2020 and a combination of models involving portfolio-level and Fama–MacBeth analyses, while accounting for cryptocurrency sample selection, we show that the additional risk measured by idiosyncratic volatility is well priced in cryptocurrencies and investors are being paid a risk premium for their holdings. However, a deeper inspection of the dynamics reveals that such a trade-off is mostly valid for the most illiquid cryptocurrencies, which are susceptible to microstructure noise. WOS AH 50000 50200 50206 2025 4 RVO:67985556 https://hdl.handle.net/11104/0353332 S C OPERATIONSRESEARCH&MANAGEMENTSCIENCE 4.6 0.7 4.2 0.02063 0.904 20568 132 1.092 53.65 6.13 10098 Q1 4.000 626 Q1 78.8 0.89 Q1 78.8 2024 85124718548 SCOPUS PUBMED 000757709800001 WOS cav_un_epca*0250807 Annals of Operations Research 334 1-3 2024 547 573 0254-5330 1572-9338 Springer