Accounting for Cryptocurrency Value

66 Pages Posted: 2 Nov 2021 Last revised: 20 Mar 2023

See all articles by Yukun Liu

Yukun Liu

University of Rochester - Simon Business School

Aleh Tsyvinski

Yale University; Yale University - Cowles Foundation

Xi Wu

University of California, Berkeley - Haas School of Business

Date Written: October 27, 2021


This paper examines the role of the information disclosed on blockchains in the cryptocurrency market. We find that blockchain disclosure on user adoption, measured as the number of new addresses, is highly value-relevant in the cryptocurrency market. Surprises in the disclosed number of new addresses explain 8% of the variation in cryptocurrency returns. The disclosed information is more value-relevant if the quality of the disclosure is higher and the cryptocurrency is larger in size. Unlike traditional markets, we do not find pre- or post-drift around the disclosure of new address information. The presence of strong market reactions at the disclosure and the absence of drifts around it highlight the distinct features of the information environment in this market, and provide a benchmark case where information is disclosed publicly and (almost) continuously. Lastly, we construct the price-to-new address ratios and find that they negatively predict future returns–a cryptocurrency value effect.

Keywords: Cryptocurrency, New Address, Value-Relevance, Return Predictability

JEL Classification: G12, M41

Suggested Citation

Liu, Yukun and Tsyvinski, Aleh and Tsyvinski, Aleh and Wu, Xi, Accounting for Cryptocurrency Value (October 27, 2021). Available at SSRN: or

Yukun Liu (Contact Author)

University of Rochester - Simon Business School ( email )

Rochester, NY 14627
United States

Aleh Tsyvinski

Yale University ( email )

493 College St
New Haven, CT CT 06520
United States

Yale University - Cowles Foundation ( email )

28 Hillhouse Ave
New Haven, CT 06520-8268
United States
203-432-9163 (Phone)

Xi Wu

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

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