Common risk factors in the returns on cryptocurrencies

【Author】 Liu, Weiyi; Liang, Xuan; Cui, Guowei

【Source】ECONOMIC MODELLING

【影响因子】3.875

【Abstract】This paper identifies three common risk factors in the returns on cryptocurrencies, which are related to cryptocurrency market return, market capitalization (size) and momentum of cryptocurrencies. Investigating a collection of 78 cryptocurrencies, we find that there are anomalous returns that decrease with size and increase with return momentum, and the momentum effect is more significant in small cryptocurrencies. Moreover, Fama-Macbeth regressions show the size and momentum combine to capture the cross-sectional variation in average cryptocurrency returns. In the tests of the three-factor model, we find most cryptocurrencies and their portfolios have significant exposures to the proposed three factors with insignificant intercepts, demonstrating that the three factors explain average cryptocurrency returns very well.

【Keywords】Cryptocurrency; Market return; Size; Momentum; Factor model

【发表时间】2020 MAR

【收录时间】2022-01-02

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