Cryptocurrencies and asset pricing

Andros Gregoriou

Applied Economics Letters, 2019, vol. 26, issue 12, 995-998

Abstract: We demonstrate that investors obtain abnormal returns by trading cryptocurrencies daily on the London Stock Exchange from 2014–2017. Excess returns persist once we account for systematic risk, size, value, momentum, profitability and investment. Investor abnormal returns in cryptocurrencies implies inefficiency.

Date: 2019
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DOI: 10.1080/13504851.2018.1527439

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