Is There a Value Premium in Cryptoasset Markets?

60 Pages Posted: 28 Dec 2020 Last revised: 6 Oct 2021

See all articles by Luca Liebi

Luca Liebi

University of St. Gallen - Swiss Institute of Banking and Finance

Date Written: October 25, 2020

Abstract

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

Suggested Citation

Liebi, Luca, Is There a Value Premium in Cryptoasset Markets? (October 25, 2020). Available at SSRN: https://ssrn.com/abstract=3718684 or http://dx.doi.org/10.2139/ssrn.3718684

Luca Liebi (Contact Author)

University of St. Gallen - Swiss Institute of Banking and Finance ( email )

Rosenbergstrasse 52
St. Gallen, CH-9000
Switzerland

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