Are cryptocurrencies priced in the cross-section? A portfolio approach

Vincent K. Assamoi, Adelphe Ekponon and Zihan Guo

Finance Research Letters, 2025, vol. 71, issue C

Abstract: We use portfolio sorting to examine cryptocurrency returns in connection to other asset classes. Using the 110 cryptocurrencies with the highest market capitalization from September 2014 to June 2021, we consider 23 financial and uncertainty factors. We find that cryptocurrencies have a strong relationship with measures of uncertainty, equity markets, foreign exchange, and precious metals. Our results provide evidence that cryptocurrencies are related to other assets through portfolio sorting, complementing studies that have found that factors related to the cryptocurrency market itself can explain their prices.

Keywords: Asset pricing; Cryptocurrency; Portfolio sorting; Macroeconomic uncertainty (search for similar items in EconPapers)
JEL-codes: C8 G10 G12 (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:71:y:2025:i:c:s1544612324014661

DOI: 10.1016/j.frl.2024.106437

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