Social Features and Cryptocurrency Returns

Posted: 2 Feb 2021 Last revised: 25 Mar 2021

See all articles by Elise Alfieri

Elise Alfieri

University Grenoble Alpes - Center for Studies and Applied Research in Management (CERAG); University Grenoble Alpes

Yann Ferrat

affiliation not provided to SSRN

Date Written: November 30, 2020

Abstract

Similarly, to private corporations, the activity of cryptocurrencies has externalities that affect stakeholders. While environmental concerns of the mining protocol and governance issues related to market regulation have been heavily expressed, social dimensions are also crucial for users and miners. This study examines the predictive relationship between social sustainability and cryptocurrency returns. We break down the social pillar into three metrics: (1) miners' incentive, (2) community inclusion and (3) user privacy. Using a sample of twenty major cryptocurrencies between 2015 and 2020, we rank cryptocurrencies on their social features and form portfolios. The derived returns are analyzed using a extended version of the simple three-factor pricing model for cryptocurrencies. The results show that privacy is penalized by the market whereas inclusion and miners' wage premiums are irrelevant to coins' valuation or unaccounted for by market participants.

Keywords: Cryptocurrencies; Sustainability; Inclusion; Privacy; Miners Incentive; Risk Premium

Suggested Citation

Alfieri, Elise and Ferrat, Yann, Social Features and Cryptocurrency Returns (November 30, 2020). Available at SSRN: https://ssrn.com/abstract=3745049

Elise Alfieri (Contact Author)

University Grenoble Alpes - Center for Studies and Applied Research in Management (CERAG) ( email )

150 Rue de la Chimie
Saint-Martin-d'Hères, 38040
France

University Grenoble Alpes ( email )

151 Rue des Universités
Saint-Martin-d'Hères, 38400
France

Yann Ferrat

affiliation not provided to SSRN

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Abstract Views
319
PlumX Metrics