A three-factor pricing model for cryptocurrencies

【Author】 Shen, Dehua; Urquhart, Andrew; Wang, Pengfei

【Source】FINANCE RESEARCH LETTERS

【影响因子】9.848

【Abstract】We propose a simple three-factor pricing model, consisting of market, size and reversal factors, to model more than 1700 cryptocurrencies over the sample period from April 2013 to March 2019. We find that small cryptocurrencies have a tendency to obtain higher returns and that the reversal returns also increase from larger to smaller cryptocurrencies. Our three-factor pricing model strongly outperforms the cryptocurrency-CAPM model and its performance is robust to different factor constructions.

【Keywords】Cryptocurrency; Asset pricing; Factors model; Size; Returns reversal

【发表时间】2020 MAY

【收录时间】2022-01-02

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