 Cryptocurrency returns under empirical asset pricingKwamie Dunbar and Johnson Owusu-Amoako International Review of Financial Analysis, 2022, vol. 82, issue C Abstract: This study examines the predictability of cryptocurrency returns based on investors' risk premia. Prior studies that have examined the predictability of cryptocurrencies using various economic risk factors have reported mixed results. Our out-of-sample evidence identifies the existence of a significant return predictability of cryptocurrencies based on the cryptocurrency market risk premium. Consistent with capital asset pricing theory (CAPM), our results show that investors often require higher positive returns before taking on any additional risks, particularly in terms of riskier assets like cryptocurrencies. Tests involving the CAPM model demonstrates that the three largest cryptocurrencies have significant exposures to the proposed market factor with insignificant intercepts, demonstrating that the market factor explains average cryptocurrency returns very well. Keywords: Cryptocurrency; CAPM; Crypto market risk premium; Empirical asset pricing (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:finana:v:82:y:2022:i:c:s1057521922001776 DOI: 10.1016/j.irfa.2022.102216 Access Statistics for this article International Review of Financial Analysis is currently edited by B.M. Lucey More articles in International Review of Financial Analysis from Elsevier |
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