Cryptocurrencies Meet Equities: Risk Factors And Asset Pricing Relationships

Victoria Dobrynskaya and Mikhail Dubrovskiy
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Mikhail Dubrovskiy: National Research University Higher School of Economics

HSE Working papers from National Research University Higher School of Economics

Abstract: We consider a variety of cryptocurrency and equity risk factors as potential forces that drive cryptocurrency returns and carry risk premiums. In a cross-section of 2,000 biggest cryptocurrencies, only downside market risk, cryptocurrency size and policy uncertainty factors are systematically priced with significant premiums. Momentum premium has vanished in the recent years. Equity market risk, particularly equity downside market risk, appears to be more important than cryptocurrency market risk, suggesting greater linkages between cryptocurrency and equity markets than we used to think. Global and US equity factors are the most relevant for the cryptocurrency market

Keywords: cryptocurrency, asset pricing; risk factors, factor models, alternative investments (search for similar items in EconPapers)
JEL-codes: D14 G12 G15 (search for similar items in EconPapers)
Pages: 20 pages
Date: 2022
New Economics Papers: this item is included in nep-cwa, nep-pay and nep-rmg
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Published in WP BRP Series: Financial Economics / FE, February 2022, pages - 20

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Persistent link: https://EconPapers.repec.org/RePEc:hig:wpaper:86/fe/2022

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