Haas School of Business
University of California at Berkeley
Berkeley, CA 94720
Institutional Affiliation: University of California at Berkeley
NBER Working Papers and Publications
|May 2019||Common Risk Factors in Cryptocurrency|
with , : w25882
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 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.