Momentum or reversal: Which is the appropriate third factor for cryptocurrencies?

By Boxiang Jia, John W. Goodell, Dehua Shen. 2021

50 citations recorded by the source corpus.

Abstract Shen et al. (2020) propose a three-factor pricing model for cryptocurrencies by including market, size, and reversal factors. However, evidence from cryptocurrencies during a more recent sample period suggests the existence of a momentum effect rather than a reversal effect. Consequently, we introduce and test a three-factor pricing model including market, size, and momentum factors (MSM three-factor model). This MSM three-factor model outperforms the quasi-cryptocurrency CAPM (Q-C-CAPM) of Shen et al. (2020), with greater explanatory power.

Subfields: Economics and Econometrics, Finance, Information Systems

View Paper: https://www.semanticscholar.org/paper/6b111d7abef8bfe164853bbb1542424353395746