- Published
- 2022-02-11
- Venue
- The Journal of Finance, vol. 77, no. 2, pp. 1133-1177
- Cited by
- 620
- Open access
- Yes, green
- DOI
- 10.1111/jofi.13119
Abstract
We find that three factors—cryptocurrency market, size, and momentum—capture the cross‐sectional expected cryptocurrency returns. We consider a comprehensive list of price‐ and market‐related return predictors in the stock market and construct their cryptocurrency counterparts. Ten cryptocurrency characteristics form successful long‐short strategies that generate sizable and statistically significant excess returns, and we show that all of these strategies are accounted for by the cryptocurrency three‐factor model. Lastly, we examine potential underlying mechanisms of the cryptocurrency size and momentum effects.
Cite this paper
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- APA 7
Liu, Y., Tsyvinski, A., & Wu, X. (2022). Common Risk Factors in Cryptocurrency. The Journal of Finance, 77(2), 1133–1177. https://doi.org/10.1111/jofi.13119
- MLA 9
Liu, Yukun, et al. "Common Risk Factors in Cryptocurrency." The Journal of Finance, vol. 77, no. 2, 2022, pp. 1133–1177, https://doi.org/10.1111/jofi.13119.
- Chicago
Liu, Yukun, Aleh Tsyvinski, and Xi Wu. "Common Risk Factors in Cryptocurrency." The Journal of Finance 77, no. 2 (2022): 1133–1177. https://doi.org/10.1111/jofi.13119.
- GOST
Liu Y., Tsyvinski A., Wu X. Common Risk Factors in Cryptocurrency // The Journal of Finance. — 2022. — Vol. 77, № 2. — P. 1133–1177. — URL: https://doi.org/10.1111/jofi.13119
- BibTeX
@article{liu2022common, title = {{Common Risk Factors in Cryptocurrency}}, author = {Yukun Liu and Aleh Tsyvinski and Xi Wu}, journal = {The Journal of Finance}, year = {2022}, volume = {77}, number = {2}, pages = {1133--1177}, doi = {10.1111/jofi.13119}, url = {https://doi.org/10.1111/jofi.13119} }- RIS
TY - JOUR AU - Liu, Yukun AU - Tsyvinski, Aleh AU - Wu, Xi TI - Common Risk Factors in Cryptocurrency JO - The Journal of Finance VL - 77 IS - 2 SP - 1133 EP - 1177 PY - 2022 DA - 2022/02/11 DO - 10.1111/jofi.13119 UR - https://doi.org/10.1111/jofi.13119 ER -