Cryptocurrencies: Stylized facts on a new investible instrument

Albert S. Hu, Christine A. Parlour and Uday Rajan

Financial Management, 2019, vol. 48, issue 4, 1049-1068

Abstract: We present stylized facts on the asset pricing properties of cryptocurrencies: summary statistics on cryptocurrency return properties and measures of common variation for secondary market returns on 222 digital coins. In our sample, secondary market returns of all other currencies are strongly correlated with Bitcoin returns. We also provide some investment characteristics of a sample of 64 initial coin offerings.

Date: 2019
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