Co-skewness, co-kurtosis and their implications on asset pricing of cryptocurrencies

Nagy Bálint Zsolt and Benedek Botond

International Journal of Financial Markets and Derivatives, 2021, vol. 8, issue 1, 65-78

Abstract: This study examines several asset pricing specifications applied for a sample of 72 cryptocurrencies. We extend the existing literature on asset pricing of cryptocurrencies by including higher co-moment factors, namely co-skewness and co-kurtosis. Our overall conclusion is that co-skewness and co-kurtosis are also priced in crypto-markets, but less pronouncedly than in equity/commodity/derivatives markets. Size and momentum factors further increase explanatory power, but their regression coefficients are insignificant.

Keywords: cryptocurrency; Bitcoin; altcoins; co-skewness; co-kurtosis; asset pricing; excess returns; Fama-MacBeth regressions. (search for similar items in EconPapers)
Date: 2021
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