Common Risk Factors in Cryptocurrency

【Author】 Liu, Yukun; Tsyvinski, Aleh; Wu, X., I

【Source】JOURNAL OF FINANCE

【影响因子】7.915

【Abstract】We find that three factors-cryptocurrency market, size, and momentum-capture the cross-sectional expected cryptocurrency returns. We consider a comprehensive list of price- and market-related return predictors in the stock market and construct their cryptocurrency counterparts. Ten cryptocurrency characteristics form successful long-short strategies that generate sizable and statistically significant excess returns, and we show that all of these strategies are accounted for by the cryptocurrency three-factor model. Lastly, we examine potential underlying mechanisms of the cryptocurrency size and momentum effects.

【Keywords】

【发表时间】

【收录时间】2022-03-07

【文献类型】期刊

【主题类别】

区块链治理--