The Surprising Irrelevance of Total-Value-Locked on Cryptocurrency Returns

Matt Brigida

Papers from arXiv.org

Abstract: A common assumption in cryptocurrency markets is a positive relationship between total-value-locked (TVL) and cryptocurrency returns. To test this hypothesis we examine whether the returns of TVL-sorted portfolios can be explained by common cryptocurrency factors. We find evidence that portfolios formed on TVL exhibit returns that are linear functions of aggregate crypto market returns, that is they can be replicated with appropriate weights on the crypto market portfolio. Thus, strategies based on TVL can be priced with standard asset pricing tools. This result holds true both for total TVL and a simple TVL measure that removes a number of ways TVL may be overstated.

Date: 2025-06, Revised 2025-06
References: View complete reference list from CitEc
Citations:

Downloads: (external link)
http://arxiv.org/pdf/2506.03287 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2506.03287

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().