Cryptocurrency returns under empirical asset pricing

【Author】 Dunbar, Kwamie; Owusu-Amoako, Johnson

【Source】INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS

【影响因子】8.235

【Abstract】This study examines the predictability of cryptocurrency returns based on investors' risk premia. Prior studies that have examined the predictability of cryptocurrencies using various economic risk factors have reported mixed results. Our out-of-sample evidence identifies the existence of a significant return predictability of cryptocurrencies based on the cryptocurrency market risk premium. Consistent with capital asset pricing theory (CAPM), our results show that investors often require higher positive returns before taking on any additional risks, particularly in terms of riskier assets like cryptocurrencies. Tests involving the CAPM model demonstrates that the three largest cryptocurrencies have significant exposures to the proposed market factor with insignificant intercepts, demonstrating that the market factor explains average cryptocurrency returns very well.

【Keywords】Cryptocurrency; CAPM; Crypto market risk premium; Empirical asset pricing

【发表时间】2022 JUL

【收录时间】2022-07-10

【文献类型】实证性文章

【主题类别】

区块链治理-市场治理-市场分析