A three-factor pricing model for cryptocurrencies
Shen, D., Urquhart, A.
It is advisable to refer to the publisher's version if you intend to cite from this work. See Guidance on citing. To link to this item DOI: 10.1016/j.frl.2019.07.021 Abstract/SummaryWe 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.
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