The pricing of bad contagion in cryptocurrencies: A four-factor pricing model

【Author】 Shahzad, Syed Jawad Hussain; Bouri, Elie; Ahmad, Tanveer; Naeem, Muhammad Abubakr; Xuan Vinh Vo

【Source】FINANCE RESEARCH LETTERS

【影响因子】9.848

【Abstract】We examine as if the incorporation of the contagion risk, which is found significant in cryptocurrencies, can make the resulting four-factor pricing model offers an improved explanatory power. We estimate contagion measure for the large left-tail events in the idiosyncratic disturbances of cryptocurrencies and then incorporate it into the three-factor pricing model. Using data of 1,967 cryptocurrencies from January 1, 2015 to September 26, 2019, we show that the fourfactor pricing model outperforms both the cryptocurrency-CAPM and three-factor models. Our findings are useful to researchers of cryptocurrency anomalies and those applying quantitative strategies in the cryptocurrency market.

【Keywords】Asset pricing; factors model; bad contagion; cryptocurrencies

【发表时间】2021 JUL

【收录时间】2022-01-02

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