Financial Uncertainty and the Cross-Section of Cryptocurrency Returns
研究发现加密货币回报主要对金融不确定性敏感，而非宏观或政策不确定性；做多负不确定性贝塔币、做空正不确定性贝塔币可获得每月约21%的溢价，该效应在投机性而非交易性代币中更强。
Our study evaluates the return sensitivity of cryptocurrencies to various measures of uncertainty (uncertainty beta). We identify that crypto returns react primarily to financial uncertainty, which is the unforecastable component of multiple financial indicators. However, crypto returns are not sensitive to other forms of uncertainty such as macro, real, or policy uncertainty, as well as VIX, and inflation. The portfolio analysis yields a significant financial uncertainty premium of around 21% per month, which is driven by the outperformance (underperformance) of cryptocurrencies with a negative (positive) uncertainty beta. The portfolio returns are more potent in coins with speculative, rather than transactional, features such as proof-of-work, non-token, and mineable. Our findings suggest that large investors exhibit a willingness to pay higher premiums for cryptocurrencies with positive uncertainty betas, as these assets can be used as a hedging tool within a larger financial portfolio.