| bibtype |
J -
Journal Article
|
| ARLID |
0646138 |
| utime |
20260224161453.6 |
| mtime |
20260217235959.9 |
| SCOPUS |
105005093210 |
| WOS |
001488135200001 |
| DOI |
10.1186/s40854-025-00777-w |
| title
(primary) (eng) |
Crypto market betas: the limits of predictability and hedging |
| specification |
| page_count |
28 s. |
| media_type |
E |
|
| serial |
| ARLID |
cav_un_epca*0525779 |
| ISSN |
Financial Innovation |
| title
|
Financial Innovation |
| volume_id |
11 |
| publisher |
|
|
| keyword |
Asset pricing |
| keyword |
Market beta |
| keyword |
Cryptocurrency |
| keyword |
Crypto |
| keyword |
Market risk |
| keyword |
CAPM |
| keyword |
Bitcoin |
| keyword |
Beta-hedging |
| author
(primary) |
| ARLID |
cav_un_auth*0457462 |
| name1 |
Šíla |
| name2 |
Jan |
| institution |
UTIA-B |
| full_dept (cz) |
Ekonometrie |
| full_dept (eng) |
Department of Econometrics |
| department (cz) |
E |
| department (eng) |
E |
| country |
CZ |
| fullinstit |
Ústav teorie informace a automatizace AV ČR, v. v. i. |
|
| author
|
| ARLID |
cav_un_auth*0503884 |
| name1 |
Mark |
| name2 |
M. |
| country |
CH |
|
| author
|
| ARLID |
cav_un_auth*0256902 |
| name1 |
Krištoufek |
| name2 |
Ladislav |
| institution |
UTIA-B |
| full_dept (cz) |
Ekonometrie |
| full_dept |
Department of Econometrics |
| department (cz) |
E |
| department |
E |
| full_dept |
Department of Econometrics |
| country |
CZ |
| fullinstit |
Ústav teorie informace a automatizace AV ČR, v. v. i. |
|
| author
|
| ARLID |
cav_un_auth*0403292 |
| name1 |
Weber |
| name2 |
A. |
| country |
CH |
|
| source |
|
| source |
|
| cas_special |
| project |
| project_id |
24/SSH/020 |
| agency |
GA UK |
| country |
CZ |
| ARLID |
cav_un_auth*0467327 |
|
| project |
| project_id |
SVV 260 843 |
| agency |
Charles University |
| country |
CZ |
| ARLID |
cav_un_auth*0503886 |
|
| project |
| project_id |
GA23-06606S |
| agency |
GA ČR |
| country |
CZ |
| ARLID |
cav_un_auth*0458718 |
|
| abstract
(eng) |
This article analyzes the predictability of market betas concerning cryptocurrency assets and evaluates the efficiency of beta-hedged, market-neutral portfolios. We forecast 1-year-ahead market betas using various estimating methods, including ordinary least squares (OLS) and Vasicek’s Bayesian shrinkage estimator, and assess their impact on portfolio variance reduction across cryptomarket indices. Our findings indicate that while standard OLS betas explain significantly less of the variation in future betas for cryptoassets compared to US stocks, slope winsorization and Bayesian shrinkage improve prediction accuracy. The results suggest that beta-hedged portfolios reduce variance for approximately 17% of the universe, with the Broad Digital Market Index demonstrating the best hedging efficiency. These findings underscore the significant challenges of developing effective hedging strategies in the cryptocurrency market, emphasizing the importance of idiosyncratic risk in crypto returns and the need for appropriate market index representation. |
| result_subspec |
WOS |
| RIV |
AH |
| FORD0 |
50000 |
| FORD1 |
50200 |
| FORD2 |
50206 |
| reportyear |
2026 |
| num_of_auth |
4 |
| inst_support |
RVO:67985556 |
| permalink |
https://hdl.handle.net/11104/0375905 |
| cooperation |
| ARLID |
cav_un_auth*0343541 |
| name |
Charles University in Prague, Faculty of Science |
| country |
CZ |
|
| cooperation |
| ARLID |
cav_un_auth*0487074 |
| name |
Ecole Polytech Fed Lausanne, Inst Mat Sci & Engn, CH-1015 Lausanne, |
| country |
CH |
|
| confidential |
S |
| article_num |
107 |
| mrcbC91 |
A |
| mrcbT16-e |
BUSINESS.FINANCE|SOCIALSCIENCES.MATHEMATICALMETHODS |
| mrcbT16-f |
7.5 |
| mrcbT16-g |
1.8 |
| mrcbT16-h |
3 |
| mrcbT16-i |
0.0031 |
| mrcbT16-j |
1.077 |
| mrcbT16-k |
3429 |
| mrcbT16-q |
57 |
| mrcbT16-s |
1.287 |
| mrcbT16-y |
78.53 |
| mrcbT16-x |
9.16 |
| mrcbT16-3 |
2884 |
| mrcbT16-4 |
Q1 |
| mrcbT16-5 |
6.300 |
| mrcbT16-6 |
143 |
| mrcbT16-7 |
Q1 |
| mrcbT16-C |
97.9 |
| mrcbT16-M |
2.49 |
| mrcbT16-N |
Q1 |
| mrcbT16-P |
99.3 |
| arlyear |
2025 |
| mrcbU14 |
105005093210 SCOPUS |
| mrcbU24 |
PUBMED |
| mrcbU34 |
001488135200001 WOS |
| mrcbU63 |
cav_un_epca*0525779 Financial Innovation Roč. 11 č. 1 2025 2199-4730 Springer |
|