The Economics of Non-Fungible Tokens

51 Pages Posted: 18 Mar 2022

See all articles by Nicola Borri

Nicola Borri

LUISS University - Department of Economics and Finance

Yukun Liu

University of Rochester - Simon Business School

Aleh Tsyvinski

Yale University - Cowles Foundation; Yale University

Date Written: March 7, 2022

Abstract

We construct a comprehensive dataset on a near universe of non-fungible token (NFT) transactions, create indices for the NFT market and its components, and analyze their properties. The NFT market return is significantly exposed to the cryptocurrency market return, but the majority of the NFT market variations remain unexplained. NFT market returns have low exposures to other cryptocurrency factors and factors from traditional asset markets. In the time-series, volatility and the NFT valuation ratio significantly predict NFT market returns. In the cross-section, NFT returns exhibit size and return reversal effects.

Keywords: Non-Fungible Token, NFT, Asset Pricing

Suggested Citation

Borri, Nicola and Liu, Yukun and Tsyvinski, Aleh and Tsyvinski, Aleh, The Economics of Non-Fungible Tokens (March 7, 2022). Available at SSRN: https://ssrn.com/abstract=4052045 or http://dx.doi.org/10.2139/ssrn.4052045

Nicola Borri

LUISS University - Department of Economics and Finance ( email )

viale Romania, 32
Rome, 00197
Italy

HOME PAGE: http://docenti.luiss.it/borri/

Yukun Liu (Contact Author)

University of Rochester - Simon Business School ( email )

Rochester, NY 14627
United States

Aleh Tsyvinski

Yale University ( email )

New Haven, CT 06520
United States

Yale University - Cowles Foundation ( email )

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

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