Are Cryptocurrencies Priced in the Cross-section? A Portfolio Approach

19 Pages Posted: 5 May 2020 Last revised: 25 Jul 2021

See all articles by Kassi Assamoi

Kassi Assamoi

University of Warwick

Adelphe Ekponon

University of Liverpool Management School

Date Written: April 9, 2020


Most papers, that study determinants of cryptocurrency prices, find no significant relation with existing market factors. We examine a portfolio approach to explore cross-sectional pricing within the cryptomarket. At its inception, Bitcoin meant to be an alternative to fiat currencies. Yet high returns in this market may have also attracted usual investors as well, because of these new investment opportunities and diversification venues. Since Bitcoin, the number of cryptocurrencies has reached more than 6,000 at the beginning of 2020, according to Hence, investors have more choices when they decide to enter into the cryptomarket. So, they have an incentive to understand the cryptomarket interaction with their current investments. We examine ten factors from equity, currency, and commodity markets and find out that size and commodity index have a negative and highly significant correlation in the cross-section. These results support the market participants’ view that cryptocurrencies are still too volatile to serve as a store of value. In the sense that, cryptocurrencies with a negative sensitivity to physical commodities are appreciated by investors.

Keywords: Empirical asset pricing, cross-sectional tests, cryptocurrency

JEL Classification: C8, G10, G12

Suggested Citation

Assamoi, Kassi and Ekponon, Adelphe, Are Cryptocurrencies Priced in the Cross-section? A Portfolio Approach (April 9, 2020). Available at SSRN: or

Kassi Assamoi

University of Warwick ( email )

Gibbet Hill Rd.
Coventry, West Midlands CV4 8UW
United Kingdom

HOME PAGE: http://

Adelphe Ekponon (Contact Author)

University of Liverpool Management School ( email )


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