 Is there a value premium in cryptoasset markets?Luca J. Liebi Economic Modelling, 2022, vol. 109, issue C Abstract: This study examines if blockchain fundamentals determine cryptoasset prices. Previous research has shown that non-fundamental factors affect cryptoasset prices however, whether blockchain fundamentals affect cryptoasset prices, lacks empirical research. Using data for 652 cryptoassets, I specify active addresses-to-network value as a valuation metric that captures transaction benefits. I find anomalous returns that increase with active addresses-to-network value ratio, a proxy for the value anomaly. Cryptoassets with a high active addresses-to-network value ratio yield on average 3.7 percentage points higher weekly returns than cryptoassets with low active addresses-to-network value ratio, and comparable size. A four-factor model directed at capturing the value pattern in average returns performs better than the three-factor model. Importantly, my results suggest that cryptoasset prices are related to their blockchain fundamentals. Keywords: Cryptoasset; Asset pricing model; Active addresses-to-network value ratio; Market β; Size; Momentum (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:ecmode:v:109:y:2022:i:c:s0264999322000232 DOI: 10.1016/j.econmod.2022.105777 Access Statistics for this article Economic Modelling is currently edited by S. Hall and P. Pauly More articles in Economic Modelling from Elsevier |
Is your work missing from RePEc? Here is how to contribute.
Questions or problems? Check the EconPapers FAQ or send mail to .
EconPapers is hosted by the
School of Business at Örebro University.