Risks and Returns of Cryptocurrency

【Author】 Liu, Yukun; Tsyvinski, Aleh

【Source】REVIEW OF FINANCIAL STUDIES

【影响因子】8.414

【Abstract】We establish that cryptocurrency returns are driven and can be predicted by factors that are specific to cryptocurrency markets. Cryptocurrency returns are exposed to cryptocurrency network factors but not cryptocurrency production factors. We construct the network factors to capture the user adoption of cryptocurrencies and the production factors to proxy for the costs of cryptocurrency production. Moreover, there is a strong time-series momentum effect, and proxies for investor attention strongly forecast future cryptocurrency returns.

【Keywords】

【发表时间】2021 JUN

【收录时间】2022-01-02

【文献类型】

【主题类别】

--