Common Risk Factors in Cryptocurrency

Yukun Liu, Aleh Tsyvinski, Xi Wu

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

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Year of publication:	May 2019
Authors:	Liu, Yukun
Other Persons:	Tsyvinski, Aleh (contributor) ; Wu, Xi (contributor)
Institutions:	National Bureau of Economic Research (contributor)
Publisher:	2019: Cambridge, Mass : National Bureau of Economic Research
Subject:	Virtuelle Währung \| Virtual currency \| CAPM \| Welt \| World \| Risiko \| Risk

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