Download This PaperCommon Risk Factors in Cryptocurrency
48 Pages Posted: 28 May 2019 Last revised: 1 Apr 2022
There are 2 versions of this paper
Common Risk Factors in Cryptocurrency
Journal of Finance, Forthcoming
Number of pages: 55
Posted: 14 Jun 2019
Last Revised: 10 Jun 2021
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2,120
Date Written: May 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: Suggested Citation
Liu, Yukun and Tsyvinski, Aleh and Tsyvinski, Aleh and Wu, Xi, Common Risk Factors in Cryptocurrency (May 2019). NBER Working Paper No. w25882, Available at SSRN: https://ssrn.com/abstract=3394671
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