Risks and Returns of Cryptocurrency / Yukun Liu, Aleh Tsyvinski.

Format:

Book

Author/Creator:

Liu, Yukun.

Contributor:

National Bureau of Economic Research.

Tsyvinski, Aleh.

Series:

Working Paper Series (National Bureau of Economic Research) no. w24877.

NBER working paper series no. w24877

Language:

English

Physical Description:

1 online resource: illustrations (black and white);

Place of Publication:

Cambridge, Mass. National Bureau of Economic Research 2018.

Summary:

We establish that the risk-return tradeoff of cryptocurrencies (Bitcoin, Ripple, and Ethereum) is distinct from those of stocks, currencies, and precious metals. Cryptocurrencies have no exposure to most common stock market and macroeconomic factors. They also have no exposure to the returns of currencies and commodities. In contrast, we show that the cryptocurrency returns can be predicted by factors which are specific to cryptocurrency markets. Specifically, we determine that there is a strong time-series momentum effect and that proxies for investor attention strongly forecast cryptocurrency returns. Finally, we create an index of exposures to cryptocurrencies of 354 industries in the US and 137 industries in China.

Notes:

Print version record

August 2018.