Factor pricing of cryptocurrencies

Qiyu Wang and Terence Tai Leung Chong

The North American Journal of Economics and Finance, 2021, vol. 57, issue C

Abstract: In this paper, we study the cryptocurrency pricing factors. We review the literatures which state that the cryptocurrency market is weakly efficient. We use the Fama–MacBeth method to investigate the pricing factors. The classical equity-based risk factors including size, momentum, and value to growth from the Fama–French three factor model are studied. We use crypto-unique coin-to-token as a proxy for value-to-growth. For volatility risk factor category, we investigate realized volatility, skewness and jump. We also investigate liquidity factors including bid–ask, volume growth and Roll’s measure. The macro factors are found not to be an explanatory factor. The attention factor works sometimes. The factor model constructed by the significant factors explain most of the excess return of cryptocurrencies.

Keywords: Pricing factors; Cross-section; Cryptocurrency; Fama–MacBeth method; Robustness test (search for similar items in EconPapers)
JEL-codes: G11 G12 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecofin:v:57:y:2021:i:c:s1062940820302308

DOI: 10.1016/j.najef.2020.101348

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