An empirical investigation on risk factors in cryptocurrency futures

【Author】 Chi, Yeguang; Hao, Wenyan; Hu, Jiangdong; Ran, Zhenkai

【Source】JOURNAL OF FUTURES MARKETS

【影响因子】2.350

【Abstract】We investigate the cross-section asset-pricing patterns of major cryptocurrencies from 2017 to 2021. We show that the basis, momentum, and basis-momentum factors earn statistically significant excess returns, a result consistent with the findings reported in the commodity futures literature. The basis is the strongest signal predicting cross-sectional differences in cryptocurrency futures returns; the momentum-induced risk premium is not statistically powerful, whereas the basis momentum-induced risk premium disappears when accounting for the basis-induced risk premium. Daily factor returns are statistically much stronger than weekly factor returns. Monthly factor returns are nonsignificant.

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【发表时间】2023 2023 MAY 22

【收录时间】2023-06-08

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