Common Risk Factors in Cryptocurrency

Yukun Liu, Aleh Tsyvinski and Xi Wu

No 25882, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: We find that three factors – cryptocurrency market, size, and momentum – capture the cross-sectional expected cryptocurrency returns. We consider a comprehensive list of price- and market-related factors in the stock market, and construct their cryptocurrency counterparts. Nine cryptocurrency factors form successful long-short strategies that generate sizable and statistically significant excess returns. We show that all of these strategies are accounted for by the cryptocurrency three-factor model.

JEL-codes: G12 (search for similar items in EconPapers)
Date: 2019-05
New Economics Papers: this item is included in nep-fmk and nep-pay
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Citations: View citations in EconPapers (39)

Published as YUKUN LIU & ALEH TSYVINSKI & XI WU, 2022. "Common Risk Factors in Cryptocurrency," The Journal of Finance, vol 77(2), pages 1133-1177.

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