Accounting for Cryptocurrency Value

70 Pages Posted: 2 Nov 2021 Last revised: 11 Nov 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

Date Written: October 27, 2021

Abstract

Information pertaining to new addresses is highly value-relevant in the cryptocurrency market. Innovations to the number of new addresses explain eight percent of the variations in cryptocurrency returns. Unlike traditional markets, we do not find evidence of pre- or post-drift around the release of new address information. The presence of strong market reactions at the release of new address information and the absence of drifts around the release highlight the distinct features of cryptocurrencies and provide a benchmark case where information is released publicly and continuously. Lastly, we show that the price-to-new address ratios negatively predict future cryptocurrency returns.

Keywords: Cryptocurrency, New Address, Value-Relevance, Return Predictability

JEL Classification: G12, M41

Suggested Citation

Liu, Yukun and Tsyvinski, Aleh and Tsyvinski, Aleh and Wu, Xi, Accounting for Cryptocurrency Value (October 27, 2021). Available at SSRN: https://ssrn.com/abstract=3951514 or http://dx.doi.org/10.2139/ssrn.3951514

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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