http://hdl.handle.net/10453/35363 2026-04-22T12:37:41Z http://hdl.handle.net/10453/185034 Title: Managing cryptocurrency risk exposures in equity portfolios: Evidence from high-frequency data Authors: Alexeev, V Abstract: We investigate the evolving relationships between cryptocurrencies and equity portfolios and find that Bitcoin’s contributions to the active risks of equity portfolios have grown over time, exceeding 10% in defensive strategies. This underscores the increasing importance of investment professionals quantifying and managing crypto-related risk exposures in their portfolios, a task for which we provide guidance. For risk measurement, we use intraday returns to significantly improve the forecast accuracy of equity portfolio sensitivities to cryptocurrency risks. For risk management, we advocate direct hedging for optimal risk reduction and suggest using stock selection constraints as an alternative approach to limit the influence of cryptocurrencies on portfolio risk exposures. 2025-02-05T00:00:00Z http://hdl.handle.net/10453/185002 Title: Managing Cryptocurrency Risk Exposures in Equity Portfolios: Evidence from High-Frequency Data Authors: Leong, M; Alekseev, V; Kwok, S 2025-01-01T00:00:00Z http://hdl.handle.net/10453/184589 Title: Corporate Loan Spreads and Economic Activity Authors: Saunders, A; Spina, A; Steffen, S; Streitz, D Editors: Goldstein, I Abstract: Abstract We investigate the predictive power of loan spreads for forecasting business cycles, specifically focusing on more constrained, intermediary-reliant firms. We introduce a novel loan-market-based credit spread constructed using secondary corporate loan-market prices over the 1999 to 2023 period. Loan spreads significantly enhance the prediction of macroeconomic outcomes, outperforming other credit-spread indicators. We also explore the underlying mechanisms and differentiate between borrower fundamentals and financial frictions. Evidence suggests that supply-side frictions are a decisive factor in the forecasting ability of loan spreads. http://hdl.handle.net/10453/182554 Title: The Market Risk Premium in Australia: Forward-Looking Evidence from the Options Market Authors: Aspris, A; Felez Vinas, E; Foley, S; Malloch, H; Svec, J Abstract: This paper analyses forward-looking estimates of the expected market return in Australian. By utilising option prices, we compute a lower bound for the capital gain and dividend components of the expected return. Over a 17-year period, the average 1-month expected return lower bound is found to be 8.6% per annum, compared with an average realised return of 10.9% per annum. Our option-based estimates demonstrate significant predictive power beyond historical averages and enable direct measurement of the expected return term structure. This approach complements traditional measures of expected returns and offers valuable insights for practitioners, academics, and policymakers in Australia. 2024-01-01T00:00:00Z