The Pricing and Performance of Cryptocurrency

【Author】 Momtaz, Paul P.

【Source】EUROPEAN JOURNAL OF FINANCE

【影响因子】1.903

【Abstract】This paper examines the performance of cryptocurrencies issued in initial coin offerings (ICOs) over a three-year period after the initial exchange listing. Average (median) ICO underpricing amounts to 15% (3%), even though 4 out of 10 ICOs destroy value on the first trading day. Liquidity, market capitalization, and high-low price ratios predict returns. Long-run buy-and-hold returns are positive for the mean and negative for the median. For holding periods between one and twenty-four months, the median ICO depreciates by 30%. Evidently, there is substantial positive skewness in the cryptocurrency market. Further, a size effect emerges from the data as an empirical regularity: Large ICOs are more often overpriced and underperform in the long run.

【Keywords】Initial coin offering; token sale; token offering; cryptocurrency; blockchain; smart contracts

【发表时间】2019 24-Mar

【收录时间】2022-01-02

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