SSRNCrypto & DeFi
Jump Risk Premiums in Cryptocurrency Returns
Cryptocurrencies sensitive to positive market jumps earn lower returns, a negative premium unexplained by coskewness and strongest when retail sentiment is high.
Featured in No. 135 on 16 Oct 2026 · 3 days after release
- Released
- 13 Oct 2026
- First featured
- No. 135 · 16 Oct 2026
- Published in
- Not yet, as far as Semantic Scholar knows
- Fanfare
- 3 of 5
- Identifier
- SSRN 7604181
- Authors
- Suzanne S. Lee and Minho Wang
Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).