Policy-sensitive crypto assets: Event study of thematic returns around U.S. elections
通过事件研究法分析2024年美国大选前后四种主题加密资产类别的累计异常回报，发现政策敏感类别（如美国制造）在大选后出现超40%的强劲反弹，而创新驱动类别反应较温和，揭示了政治事件对加密资产定价的影响。
• Crypto assets react sharply to U.S. election outcomes. • Policy-sensitive categories show strongest post-election gains. • Thematic crypto portfolios diverge in political risk pricing. This paper analyzes how thematic crypto asset categories responded to the 2024 U.S. presidential election using cumulative abnormal returns (CARs) within an event study framework. We examine four thematic categories: Made in U.S., DeFi & Real-World Assets, AI & Big Data, and World Liberty Financial. The results show significant negative CARs in the pre-election window, followed by sharp positive reversals on the election day and after the election. The most pronounced post-election recoveries appear in the Made in U.S. category with CARs over 40%, suggesting market reassessment of regulatory expectations. Innovation-driven categories such as (World Liberty Financial, DeFi & Real-World Assets, and AI & Big Data) exhibit more muted responses. These findings underscore how political alignment influences crypto performance and offer new evidence on the pricing of political risk in digital asset markets.