Factor pricing of cryptocurrencies

【Author】 Wang, Qiyu; Chong, Terence Tai-Leung

【Source】NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE

【影响因子】3.136

【Abstract】In this paper, we study the cryptocurrency pricing factors. We review the literatures which state that the cryptocurrency market is weakly efficient. We use the Fama-MacBeth method to investigate the pricing factors. The classical equity-based risk factors including size, momentum, and value to growth from the Fama-French three factor model are studied. We use cryptounique coin-to-token as a proxy for value-to-growth. For volatility risk factor category, we investigate realized volatility, skewness and jump. We also investigate liquidity factors including bid-ask, volume growth and Roll's measure. The macro factors are found not to be an explanatory factor. The attention factor works sometimes. The factor model constructed by the significant factors explain most of the excess return of cryptocurrencies.

【Keywords】Pricing factors; Cross-section; Cryptocurrency; Cryptocurrency Fama-MacBeth method; Robustness test

【发表时间】2021 JUL

【收录时间】2022-01-02

【文献类型】

【主题类别】

--