Common Risk Factors in Cryptocurrency

48 Pages Posted: 28 May 2019 Last revised: 20 Sep 2021

See all articles by Yukun Liu

Yukun Liu

University of Rochester - Simon Business School

Aleh Tsyvinski

Yale University; Yale University - Cowles Foundation

Xi Wu

Haas School of Business, University of California Berkeley

Multiple version iconThere are 2 versions of this paper

Date Written: May 2019

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.

Suggested Citation

Liu, Yukun and Tsyvinski, Aleh and Tsyvinski, Aleh and Wu, Xi, Common Risk Factors in Cryptocurrency (May 2019). NBER Working Paper No. w25882, Available at SSRN: https://ssrn.com/abstract=3394671

Yukun Liu (Contact Author)

University of Rochester - Simon Business School ( email )

Rochester, NY 14627
United States

Aleh Tsyvinski

Yale University ( email )

New Haven, CT 06520
United States

Yale University - Cowles Foundation ( email )

28 Hillhouse Ave
New Haven, CT 06520-8268
United States
203-432-9163 (Phone)

Xi Wu

Haas School of Business, University of California Berkeley ( email )

United States

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