Common Risk Factors in Cryptocurrency

• 成果类型: Article
• 署名作者: Liu, Yukun; Tsyvinski, Aleh; Wu, X., I
• 署名单位: University of Rochester; Yale University; National Bureau of Economic Research; University of California System; University of California Berkeley
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.13119
• 发表日期: 2022
• 页码: 1133-1177
• 关键词: cross-section; idiosyncratic volatility; investor attention; MARKET; returns; arbitrage; stocks

摘要

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 return predictors in the stock market and construct their cryptocurrency counterparts. Ten cryptocurrency characteristics form successful long-short strategies that generate sizable and statistically significant excess returns, and we show that all of these strategies are accounted for by the cryptocurrency three-factor model. Lastly, we examine potential underlying mechanisms of the cryptocurrency size and momentum effects.