Is There a Value Premium in Cryptoasset Markets?
60 Pages Posted: 28 Dec 2020 Last revised: 6 Oct 2021
Date Written: October 25, 2020
This paper identifies active addresses-to-network value as an additional common risk factor in the returns on cryptoassets. Investigating 652 cryptoassets, I find anomalous returns that increase with active addresses-to-network value ratio, a proxy for the value anomaly. Cryptoassets with a high active address to network value ratio yield on average 2.1 percentage points higher weekly returns than cryptoassets with low active addresses to network value ratio, and comparable size. A four-factor model directed at capturing the value pattern in average returns performs better than a three-factor model, including the market, size, and momentum factor.
Keywords: Cryptoasset, asset pricing model, active addresses to network value ratio, size, momentum, metcalfe's law
JEL Classification: G12
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