Blockchain factors

Athanasios Sakkas and Andrew Urquhart

Journal of International Financial Markets, Institutions and Money, 2024, vol. 94, issue C

Abstract: Identifying factors to explain cryptocurrency returns is challenging given the lack of fundamental information, however there exists a plethora of data from public blockchains. We use these on-chain data with the recent methodology of Harvey and Liu (2021) and show that a parsimonious two-factor model comprised of the value-weighted cryptocurrency market factor and the network distribution factor can explain the cross-section of individual cryptocurrency returns.

Keywords: Crypto factor premia; Cryptocurrencies; Fintech; On-chain metrics; Predictability (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:eee:intfin:v:94:y:2024:i:c:s1042443124000787

DOI: 10.1016/j.intfin.2024.102012

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