The Pricing and Performance of Cryptocurrency

The European Journal of Finance, Forthcoming

31 Pages Posted: 10 May 2018 Last revised: 26 Jun 2019

See all articles by Paul P. Momtaz

Paul P. Momtaz

University of California, Los Angeles (UCLA)

Date Written: May 23, 2018


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 Offerings, ICOs, Token Sales, Token Offering, Cryptocurrency, Digital Currency, Virtual Currency, Distributed Ledger Technology, Blockchain, Smart Contracts, Blockchain Finance, Crowdfunding

JEL Classification: G24, G32, K22, L26

Suggested Citation

Momtaz, Paul P., The Pricing and Performance of Cryptocurrency (May 23, 2018). The European Journal of Finance, Forthcoming. Available at SSRN: or

Paul P. Momtaz (Contact Author)

University of California, Los Angeles (UCLA) ( email )

405 Hilgard Avenue
Box 951361
Los Angeles, CA 90095
United States

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