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<p>This study examines the impact of corporate Bitcoin holdings on firm-level risk and return using the Capital Asset Pricing Model (CAPM), Fama–French three-factor (FF3), and Fama–French four-factor (FF4) models. Analyzing Bitcoin exposure through quantity and market value, we find that both measures significantly increase systematic risk, idiosyncratic risk, total volatility, and abnormal returns. Market value exerts a stronger influence on systematic risk, whereas quantity primarily drives idiosyncratic and total risks. The FF3 model yields the largest risk factor coefficients, while the FF4 model indicates that market value reduces firm sensitivity to size and value factors, and quantity enhances exposure to the value factor. Abnormal returns suggest market premiums driven by speculative sentiment. These findings highlight Bitcoin’s dual role as a risk amplifier and return enhancer, with implications for corporate financial strategy, investor decision-making, and digital asset regulation. This study underscores the need to integrate cryptocurrency exposure into asset pricing frameworks.</p>

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The risk-return dynamics of corporate cryptocurrency adoption: evidence from bitcoin holdings

  • 期刊论文

  • 出版模式：

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  • 发表日期：

    2026年6月27日

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  • Cathy Zishang Liu,
  • Priti Verma,
  • Rahul Verma

摘要

This study examines the impact of corporate Bitcoin holdings on firm-level risk and return using the Capital Asset Pricing Model (CAPM), Fama–French three-factor (FF3), and Fama–French four-factor (FF4) models. Analyzing Bitcoin exposure through quantity and market value, we find that both measures significantly increase systematic risk, idiosyncratic risk, total volatility, and abnormal returns. Market value exerts a stronger influence on systematic risk, whereas quantity primarily drives idiosyncratic and total risks. The FF3 model yields the largest risk factor coefficients, while the FF4 model indicates that market value reduces firm sensitivity to size and value factors, and quantity enhances exposure to the value factor. Abnormal returns suggest market premiums driven by speculative sentiment. These findings highlight Bitcoin’s dual role as a risk amplifier and return enhancer, with implications for corporate financial strategy, investor decision-making, and digital asset regulation. This study underscores the need to integrate cryptocurrency exposure into asset pricing frameworks.