Common risk Factors in Cryptocurrency

 

 

The project is to replicate one paper. When drumming up new quant trading ideas, often quantitative researchers will draw from prior literature. After identifying an interesting strategy, the researcher will replicate the strategy, deciding if the strategy is indeed robust, and then analyzing it more deeply. Then, the researcher will study if the strategy can be improved.

list of papers, choose ONE to replicate!

1. Expected return, volume and mispricing (2022, Journal of Financial Economics)
a. Table 1, 2, 4 of the SSRN version
b. https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3171375
2. Common risk Factors in Cryptocurrency (2021, Journal of Finance)
a. Table 3,4,5,6,8

3. The Dividend Month Premium, Hartzmark and Solomon (2012)
a. Table 1, Panel A B C
b. Table II
c. Table III A and B
d. Figure 1
e. Extra mile: Table IV, Table VI, Figure 2

4. Earnings Extrapolation and Predictable Stock Market Returns by Hongye Guo (unpublished, faculty joining HKU next year!  )
a. Table 1,2,3,4

5. A FROG IN EVERY PAN: INFORMATION DISCRETENESS AND THE LEAD-LAG RETURNS PUZZLE (JFE, 2022). (Some HKU people are authors)
a. Tables 1,2,3, and Table 9 Panels A and D

6. Maxing out: Stocks as Lotteries in the Cross-Section of Expected Returns of the publication version
a. Replicate Table 1,2
b. Table 4
c. Either Table 6, 7 10 or 11
d. Report the cumulative return graph to the strategy

7. The Other Side of Value: Gross Profitability by Robert Novy Marx (2010)
a. Table II
b. Table III
c. Table IV
d. Table V
e. Table VI, Panel A
f. Table 7 Panel A
g. Optional but desirable
i. Table VI, Panel B
h. You may use Wayne Chang’s code to boost your replication time. Or use the finratios.file
8. Idiosyncratic momentum
a. https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2947044
b. Not an academic paper, but based off of one
c. 1,2,4,11,12,13

Another moonshot project that might be interesting is on NFTs. However, you will have to collect the data yourself. Replicate at least the first three tables.
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4052045

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