A three-factor pricing model for cryptocurrencies

Dehua Shen, Andrew Urquhart and Pengfei Wang

Finance Research Letters, 2020, vol. 34, issue C

Abstract: We propose a simple three-factor pricing model, consisting of market, size and reversal factors, to model more than 1700 cryptocurrencies over the sample period from April 2013 to March 2019. We find that small cryptocurrencies have a tendency to obtain higher returns and that the reversal returns also increase from larger to smaller cryptocurrencies. Our three-factor pricing model strongly outperforms the cryptocurrency-CAPM model and its performance is robust to different factor constructions.

Keywords: Cryptocurrency; Asset pricing; Factors model; Size; Returns reversal (search for similar items in EconPapers)
JEL-codes: G12 G14 G15 (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (37)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:34:y:2020:i:c:s1544612319304519

DOI: 10.1016/j.frl.2019.07.021

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