Common Risk Factors in Cryptocurrency

Abstract

We find that three factors -cryptocurrency market, size, and momentum -capture the crosssectional expected cryptocurrency returns.We consider a comprehensive list of price-and market-related factors in the stock market, and construct their cryptocurrency counterparts.Nine cryptocurrency factors form successful long-short strategies that generate sizable and statistically significant excess returns.We show that all of these strategies are accounted for by the cryptocurrency three-factor model.

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