On the (almost) stochastic dominance of cryptocurrency factor portfolios and implications for cryptocurrency asset pricing

【Author】 Han, Weihao; Newton, David; Platanakis, Emmanouil; Sutcliffe, Charles; Ye, Xiaoxia

【Source】EUROPEAN FINANCIAL MANAGEMENT

【影响因子】2.295

【Abstract】Cryptocurrency returns are highly nonnormal, casting doubt on the standard performance metrics. We apply almost stochastic dominance, which does not require any assumption about the return distribution or degree of risk aversion. From 29 long-short cryptocurrency factor portfolios, we find eight that dominate our four benchmarks. Their returns cannot be fully explained by the three-factor coin model of Liu et al. So we develop a new three-factor model where momentum is replaced by a mispricing factor based on size and risk-adjusted momentum, which significantly improves pricing performance.

【Keywords】almost stochastic dominance; asset pricing; cryptocurrencies; mispricing

【发表时间】2023 2023 JUN 1

【收录时间】2023-06-29

【文献类型】

【主题类别】

--