Cryptocurrencies: Stylized Facts on a New Investible Instrument

27 Pages Posted: 5 Jun 2018

See all articles by Albert Hu

Albert Hu

Changsha Intelligent Driving Institute; University of California, Berkeley - Haas School of Business

Christine A. Parlour

University of California, Berkeley - Finance Group

Uday Rajan

Stephen M. Ross School of Business, University of Michigan

Date Written: May 3, 2018

Abstract

We present stylized facts on the asset pricing properties of cryptocurrencies: summary statistics on cryptocurrency return properties and measures of common variation for secondary market returns on 222 digital coins. In our sample, secondary market returns of all other currencies are strongly correlated with Bitcoin returns. We also provide some investment characteristics of a sample of 64 initial coin offerings (ICOs).

Keywords: cryptocurrencies, bitcoin, ico, initial coin offering, asset pricing

Suggested Citation

Hu, Albert and Hu, Albert and Parlour, Christine A. and Rajan, Uday, Cryptocurrencies: Stylized Facts on a New Investible Instrument (May 3, 2018). Available at SSRN: https://ssrn.com/abstract=3182113 or http://dx.doi.org/10.2139/ssrn.3182113

Albert Hu (Contact Author)

University of California, Berkeley - Haas School of Business ( email )

545 Student Services Building, #1900
2220 Piedmont Avenue
Berkeley, CA 94720
United States

Changsha Intelligent Driving Institute ( email )

Building B
Taozihu Cultural Creative Industry Park
Yuelu District, Changsha, Hunan
China

Christine A. Parlour

University of California, Berkeley - Finance Group ( email )

Haas School of Business
545 Student Services Building
Berkeley, CA 94720
United States
510-643-9391 (Phone)

Uday Rajan

Stephen M. Ross School of Business, University of Michigan ( email )

701 Tappan Street
Ann Arbor, MI 48109
United States
734-764-2310 (Phone)

HOME PAGE: http://webuser.bus.umich.edu/urajan

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