Risks and Returns of Cryptocurrency

By Yukun Liu, Aleh Tsyvinski. The Review of financial studies, 2018

885 citations recorded by the source corpus.

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.

Subfields: Economics and Econometrics, Finance, Information Systems

View Paper: https://www.semanticscholar.org/paper/2a70cf6787c84fbb15632bf3986d60094c71da69

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Amin Shams
2. John M. Griffin

In Finance

1. Amin Shams
2. John M. Griffin
3. Stefan Nagel
4. Natalia Outecheva

In Information Systems

1. Amin Shams
2. John M. Griffin

Citations in the corpus

• Equilibrium Bitcoin Pricing (2018, neutral): “Indeed, Liu and Tsyvinski (2018) find empirically that the correlation of bitcoin returns with durable or non durable consumption growth, industrial production growth and personal income growth is economically and statistically insignificant.”
• Is Bitcoin Really Untethered? (2020, background): “Previous studies show that none of the exposures to macroeconomic factors, stocks markets, currencies, or commodities can explain cryptocurrency prices (Liu and Tsyvinski (2018)).”