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Common Risk Factors in Cryptocurrency / Yukun Liu, Aleh Tsyvinski, Xi Wu.
- Format:
- Book
- Author/Creator:
- Liu, Yukun.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w25882.
- NBER working paper series no. w25882
- Language:
- English
- Physical Description:
- 1 online resource: illustrations (black and white);
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 2019.
- Summary:
- 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.
- Notes:
- Print version record
- May 2019.
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