Related papers: Empirical Crypto Asset Pricing
We organize existing empirical regularities of cryptocurrencies into seven stylized facts and analyze cryptocurrencies through the lens of empirical asset pricing. We find important similarities with traditional markets--risk-adjusted…
We propose factor models for the cross-section of daily cryptoasset returns and provide source code for data downloads, computing risk factors and backtesting them out-of-sample. In "cryptoassets" we include all cryptocurrencies and a host…
Despite being described as a medium of exchange, cryptocurrencies do not have the typical attributes of a medium of exchange. Consequently, cryptocurrencies are more appropriately described as crypto assets. A common investment attribute…
This research is to assess cryptocurrencies with the conditional beta, compared with prior studies based on unconditional beta or fixed beta. It is a new approach to building a pricing model for cryptocurrencies. Therefore, we expect that…
We estimate risk premia in the cross-section of cryptocurrency returns using the Giglio-Xiu (2021) three-pass approach, allowing for omitted latent factors alongside observed stock-market and crypto-market factors. Using weekly data on a…
Cryptocurrency markets have many of the characteristics of 20th century commodities markets, making them an attractive candidate for trend following strategies. We present a decade of evidence from the infancy of bitcoin, showcasing the…
Cryptocurrencies have become a popular and widely researched topic of interest in recent years for investors and scholars. In order to make informed investment decisions, it is essential to comprehend the factors that impact cryptocurrency…
Beta-sorted portfolios -- portfolios comprised of assets with similar covariation to selected risk factors -- are a popular tool in empirical finance to analyze models of (conditional) expected returns. Despite their widespread use, little…
This study investigates the relationship between narratives conveyed through microblogging platforms, namely Twitter, and the value of crypto assets. Our study provides a unique technique to build narratives about cryptocurrency by…
The study examines whether fama-french equity factors can effectively explain the idiosyncratic risk and return characteristics of Bitcoin. By incorporating Fama-french factors, the explanatory power of these factors on Bitcoin's excess…
In recent literature it is claimed that BitCoin price behaves more likely to a volatile stock asset than a currency and that changes in its price are influenced by sentiment about the BitCoin system itself; in Kristoufek [10] the author…
In recent years, the tendency of the number of financial institutions including cryptocurrencies in their portfolios has accelerated. Cryptocurrencies are the first pure digital assets to be included by asset managers. Although they have…
In recent years, cryptocurrencies have gone from an obscure niche to a prominent place, with investment in these assets becoming increasingly popular. However, cryptocurrencies carry a high risk due to their high volatility. In this paper,…
We propose a modelling framework for the optimal selection of crypto assets. Crypto assets differ by two essential features: security (technological) and stability (governance). Investors make choices over crypto assets similarly to how…
We determine the number of statistically significant factors in a forecast model using a random matrices test. The applied forecast model is of the type of Reduced Rank Regression (RRR), in particular, we chose a flavor which can be seen as…
Few assets in financial history have been as notoriously volatile as cryptocurrencies. While the long term outlook for this asset class remains unclear, we are successful in making short term price predictions for several major crypto…
Cryptocurrencies are considered the latest innovation in finance with considerable impact across social, technological, and economic dimensions. This new class of financial assets has also motivated a myriad of scientific investigations…
Given a new candidate asset represented as a time series of returns, how should a quantitative investment manager be thinking about assessing its usefulness? This is a key qualitative question inherent to the investment process which we aim…
We develop novel estimation procedures with supporting econometric theory for a dynamic latent-factor model with high-dimensional asset characteristics, that is, the number of characteristics is on the order of the sample size. Utilizing…
We endorse the idea, suggested in recent literature, that BitCoin prices are influenced by sentiment and confidence about the underlying technology; as a consequence, an excitement about the BitCoin system may propagate to BitCoin prices…