Common Risk Factors in Cryptocurrency

48 Pages Posted: 28 May 2019

See all articles by Yukun Liu

Yukun Liu

University of Rochester - Simon Business School

Aleh Tsyvinski

Xi Wu

Haas School of Business, University of California Berkeley

Multiple version iconThere are 2 versions of this paper

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.

Institutional subscribers to the NBER working paper series, and residents of developing countries may download this paper without additional charge at www.nber.org.

Suggested Citation

Liu, Yukun 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

Yukun Liu (Contact Author)

University of Rochester - Simon Business School ( email )

Rochester, NY 14627
United States

Xi Wu

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

United States

No contact information is available for Aleh Tsyvinski

Here is the Coronavirus
related research on SSRN

Paper statistics

Downloads
16
Abstract Views
1,009
PlumX Metrics