---
title: Jump Risk Premiums in Cryptocurrency Returns
url: https://www.ml-quant.com/papers/ssrn/7604181/
site: ML-Quant (https://www.ml-quant.com)
updated: 2026-10-16
license: Summaries CC BY 4.0; links go to the original sources
index: https://www.ml-quant.com/llms.txt
identifier: SSRN 7604181
source_url: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=7604181
featured: 2026-10-16
citations: unknown
topic: Crypto & 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.

- Source: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=7604181
- Identifier: SSRN 7604181
- Released: 2026-10-13
- First featured: Quant Letter No. 135 (2026-10-16): https://www.ml-quant.com/issues/2026-10-16/
- Citations (Semantic Scholar): not tracked
- Published in: not yet
- Topic: Crypto & DeFi
- Authors: Suzanne S. Lee, Minho Wang

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