A Factor Model for Digital Assets

Cristian Isac (), Thomas Erdösi () and Warren Han ()
Additional contact information
Cristian Isac: CF Benchmarks Ltd.
Thomas Erdösi: CF Benchmarks Ltd.

A chapter in Mathematical Research for Blockchain Economy, 2026, pp 63-84 from Springer

Abstract: Abstract We identify seven factors - market, size, value, momentum, growth, liquidity, and downside beta - that explain cryptocurrency returns, each exhibiting statistically significant risk premia. Within the Fama–French framework, value, momentum, and growth deliver the largest risk premia after the market factor, while size, liquidity, and downside beta yield smaller but positive returns. From an explanatory standpoint, we find the market to be the dominant factor, with value, growth, downside beta, and size adding substantial explanatory power, and the remaining two factors - momentum and liquidity - offering more modest yet complementary contributions. Lastly, Fama–MacBeth regressions confirm the significance of all seven factors, and reveal notable time variation in their associated risk premia, reflecting the evolving structure of the digital asset market.

Keywords: Digital assets; Factor investing; Risk premia; Fama–French; Fama–MacBeth (search for similar items in EconPapers)
Date: 2026
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:lnopch:978-3-032-13377-9_4

Ordering information: This item can be ordered from
http://www.springer.com/9783032133779

DOI: 10.1007/978-3-032-13377-9_4

Access Statistics for this chapter

More chapters in Lecture Notes in Operations Research from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().