Risks and Returns of Cryptocurrency
成果类型：
Article
署名作者：
Liu, Yukun; Tsyvinski, Aleh
署名单位：
University of Rochester; Yale University
刊物名称：
REVIEW OF FINANCIAL STUDIES
ISSN/ISSBN：
0893-9454
DOI：
10.1093/rfs/hhaa113
发表日期：
2021
页码：
2689
关键词：
摘要：
We establish that cryptocurrency returns are driven and can be predicted by factors that are specific to cryptocurrency markets. Cryptocurrency returns are exposed to cryptocurrency network factors but not cryptocurrency production factors. We construct the network factors to capture the user adoption of cryptocurrencies and the production factors to proxy for the costs of cryptocurrency production. Moreover, there is a strong time-series momentum effect, and proxies for investor attention strongly forecast future cryptocurrency returns.