Crypto Value, Factor Pricing, and Market Segmentation

• 成果类型: Article; Early Access
• 署名作者: Cong, Lin William; Karolyi, G. Andrew; Tang, Ke; Zhao, Weiyi
• 署名单位: Nanyang Technological University; Nanyang Technological University; Tsinghua University; Cornell University; Tsinghua University; Yanqi Lake Beijing Institute of Mathematical Sciences & Applications; Zhongnan University of Economics & Law; Zhongnan University of Economics & Law
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2024.05875
• 发表日期: 2026
• 关键词: Asset pricing; Cryptocurrency; International finance; segmentation; VALUE PREMIUM

摘要

In the largest data set of crypto assets to date, we uncover a significant value effect based on the active-addresses-to-market-cap ratio. The corresponding novel value factor, together with the crypto market, size, and momentum factors adapted to our sample, forms a four-factor model that explains the cross-sectional return variations better than existing benchmarks. We show that the crypto value premium is plausibly driven by compensation for on-chain activity risk. We also provide the first comprehensive classification of major cryptocurrencies based on their economic functionality. Applying methodologies from international asset pricing, we document significant market segmentation across the token categories, with nonmonotone dynamics and implications for crypto investment strategy and regulation.