【Author】
Liu, Yukun; Tsyvinski, Aleh; Wu, X., I
【Source】JOURNAL OF FINANCE
【Abstract】We find that three factors-cryptocurrency market, size, and momentum-capture the cross-sectional expected cryptocurrency returns. We consider a comprehensive list of price- and market-related return predictors in the stock market and construct their cryptocurrency counterparts. Ten cryptocurrency characteristics form successful long-short strategies that generate sizable and statistically significant excess returns, and we show that all of these strategies are accounted for by the cryptocurrency three-factor model. Lastly, we examine potential underlying mechanisms of the cryptocurrency size and momentum effects.
【摘要】我们发现三个因素——加密货币市场、规模和动量——捕捉了横截面的预期加密货币回报。我们考虑股票市场中与价格和市场相关的回报预测因子的综合列表，并构建它们的加密货币对应物。十种加密货币特征形成了成功的多空策略，这些策略产生了可观且具有统计意义的超额回报，我们表明所有这些策略都由加密货币三因素模型解释。最后，我们研究了加密货币规模和动量效应的潜在潜在机制。
【文献类型】Article; Early Access
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