Blockchain Characteristics and the Cross-Section of Cryptocurrency Returns

George Korniotis, Siddharth Bhambhwani and Stefanos Delikouras

No 13724, CEPR Discussion Papers from Centre for Economic Policy Research

Abstract: We examine whether blockchain characteristics such as network size and computing power affect cryptocurrency prices and returns. Consistent with theoretical models, cryptocurrency prices are cointegrated with these two blockchain characteristics. Further, a stochastic discount factor with aggregate network and computing power explains the cross-sectional variation in expected cryptocurrency returns at least as well as models with cryptocurrency return-based factors (market, size, momentum). Overall, our results show that theoretically motivated factors are important sources of risk for cryptocurrency prices and expected returns.

Keywords: Hashrate; Network; Factor analysis; Gmm; Rolling estimation (search for similar items in EconPapers)
JEL-codes: E4 G12 G15 (search for similar items in EconPapers)
Date: 2019-05
New Economics Papers: this item is included in nep-bec, nep-fmk, nep-mac, nep-mon, nep-ore and nep-pay
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Citations: View citations in EconPapers (37)

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