Common Risk Factors in Cryptocurrency /
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 factors in the stock market, and construct their cryptocurrency counterparts. Nine cryptocurrency factor...
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- Elektronisch E-Book
- Sprache:
- Englisch
- Veröffentlicht:
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Cambridge, Mass.
National Bureau of Economic Research
2019.
- Zusammenfassung:
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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 factors in the stock market, and construct their cryptocurrency counterparts. Nine cryptocurrency factors form successful long-short strategies that generate sizable and statistically significant excess returns. We show that all of these strategies are accounted for by the cryptocurrency three-factor model.
- Umfang:
- 1 online resource: illustrations (black and white);
- Anmerkungen:
- May 2019.
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