Common Risk Factors in Cryptocurrency
نویسندگان
چکیده
We find that three factors—cryptocurrency market, size, and momentum—capture the cross-sectional expected cryptocurrency returns. consider a comprehensive list of price- market-related return predictors in stock market construct their counterparts. Ten characteristics form successful long-short strategies generate sizable statistically significant excess returns, we show all these are accounted for by three-factor model. Lastly, examine potential underlying mechanisms size momentum effects.
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ژورنال
عنوان ژورنال: Journal of Finance
سال: 2022
ISSN: ['0022-1082', '1540-6261']
DOI: https://doi.org/10.1111/jofi.13119