A three-factor pricing model for cryptocurrencies

By Dehua Shen, Andrew Urquhart, Pengfei Wang. Finance Research Letters, 2020

118 citations recorded by the source corpus.

Abstract We propose a simple three-factor pricing model, consisting of market, size and reversal factors, to model more than 1700 cryptocurrencies over the sample period from April 2013 to March 2019. We find that small cryptocurrencies have a tendency to obtain higher returns and that the reversal returns also increase from larger to smaller cryptocurrencies. Our three-factor pricing model strongly outperforms the cryptocurrency-CAPM model and its performance is robust to different factor constructions.

Subfields: Economics and Econometrics, Finance, Information Systems

View Paper: https://www.semanticscholar.org/paper/4283a6497053c9f7192496e734f8765d496715ca