Cryptocurrencies: Stylized Facts on a New Investible Instrument
27 Pages Posted: 5 Jun 2018
Date Written: May 3, 2018
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
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