Momentum or reversal: Which is the appropriate third factor for cryptocurrencies?

Boxiang Jia, John W. Goodell and Dehua Shen

Finance Research Letters, 2022, vol. 45, issue C

Abstract: Shen et al. (2020) propose a three-factor pricing model for cryptocurrencies by including market, size, and reversal factors. However, evidence from cryptocurrencies during a more recent sample period suggests the existence of a momentum effect rather than a reversal effect. Consequently, we introduce and test a three-factor pricing model including market, size, and momentum factors (MSM three-factor model). This MSM three-factor model outperforms the quasi-cryptocurrency CAPM (Q-C-CAPM) of Shen et al. (2020), with greater explanatory power.

Keywords: Momentum; Liquidity; Cryptocurrency; Factor models (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (21)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:45:y:2022:i:c:s1544612321002208

DOI: 10.1016/j.frl.2021.102139

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