Common Risk Factors in Cryptocurrency

47 Pages Posted: 14 Jun 2019

See all articles by Yukun Liu

Yukun Liu

Yale University, Department of Economics, Students

Aleh Tsyvinski

Yale University - Cowles Foundation

Xi Wu

New York University (NYU) - Leonard N. Stern School of Business

Multiple version iconThere are 2 versions of this paper

Date Written: April 15, 2019

Abstract

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.

Suggested Citation

Liu, Yukun and Tsyvinski, Aleh and Wu, Xi, Common Risk Factors in Cryptocurrency (April 15, 2019). Available at SSRN: https://ssrn.com/abstract=3379131 or http://dx.doi.org/10.2139/ssrn.3379131

Yukun Liu (Contact Author)

Yale University, Department of Economics, Students ( email )

28 Hillhouse Ave
New Haven, CT 06520-8268
United States

Aleh Tsyvinski

Yale University - Cowles Foundation ( email )

28 Hillhouse Ave
New Haven, CT 06520-8268
United States
203-432-9163 (Phone)

Xi Wu

New York University (NYU) - Leonard N. Stern School of Business ( email )

44 West 4th Street
New York, NY 10012
United States

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