Cryptocurrencies and asset pricing

【Author】 Gregoriou, Andros

【Source】APPLIED ECONOMICS LETTERS

【影响因子】1.287

【Abstract】We demonstrate that investors obtain abnormal returns by trading cryptocurrencies daily on the London Stock Exchange from 2014-2017. Excess returns persist once we account for systematic risk, size, value, momentum, profitability and investment. Investor abnormal returns in cryptocurrencies implies inefficiency.

【Keywords】Cryptocurrencies; Capital Asset Pricing Model; London Stock Exchange; efficiency

【发表时间】2019 12-Jul

【收录时间】2022-01-02

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