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A three-factor pricing model for cryptocurrencies

Shen, D., Urquhart, A. and Wang, P. (2019) A three-factor pricing model for cryptocurrencies. Finance Research Letters. ISSN 1544-6123 (In Press)

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To link to this item DOI: 10.1016/j.frl.2019.07.021

Abstract/Summary

We propose a simple three-factor pricing model, consisting of market, size and reversal factors, to model more than 1700 cryptocurrencies over the sample period from April 2013 to March 2019. We find that small cryptocurrencies have a tendency to obtain higher returns and the reversal returns also increase from larger to smaller cryptocurrencies. Our three-factor pricing model strongly outperforms the cryptocurrency-CAPM model and its performance is robust to different factor constructions.

Item Type:Article
Refereed:Yes
Divisions:Henley Business School > ICMA Centre
ID Code:85321
Publisher:Elsevier

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