Non-Fungible Tokens (NFT). The Analysis of Risk and Return

34 Pages Posted: 17 Nov 2021 Last revised: 22 Nov 2021

Date Written: October 31, 2021


This study examines the risk and return characteristics of the NFT-based startups listed on the cryptocurrency exchange. Our investigation is motivated by the recent surge in the NFT activity on the part of creators, investors, and traders. We begin by proposing novel classification of the existing NFTs that range from NFT blockchains through NFT metaverse to NFT DeFi. Next, we establish that NFTs: 1) earn 130% on the first-listing-day; 2) yield an investment multiple of 40 (roughly 4,000%) over the long-term, which is four times higher than bitcoin during the same period; 3) deliver positive and significant alpha and exhibit above-average beta. We also show that the NFT segment of the cryptocurrency market leads market recovery following the mid-2021 crash and generate a return of close to 350%. In the final analysis of the paper, we find that NFT infrastructure integrated within the existing blockchains increase market valuations of these networks.

Keywords: Non-Fungible Token, Metaverse, Blockchain, Cryptocurrency, Decentralised Finance, Risk, Return, Volatility, NFT, DeFi

JEL Classification: C43, D44, G11, G12, Z11

Suggested Citation

Mazur, Mieszko, Non-Fungible Tokens (NFT). The Analysis of Risk and Return (October 31, 2021). Available at SSRN: or

Mieszko Mazur (Contact Author)

ESSCA school of management ( email )

55 Quai Alphonse le Gallo
Boulogne-Billancourt, 92513

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