Accessibility navigation

A three-factor pricing model for cryptocurrencies

Shen, D., Urquhart, A. and Wang, P. (2020) A three-factor pricing model for cryptocurrencies. Finance Research Letters, 34. 101248. ISSN 1544-6123

Text - Accepted Version
· Available under License Creative Commons Attribution Non-commercial No Derivatives.
· Please see our End User Agreement before downloading.


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/


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
Divisions:Henley Business School > ICMA Centre
ID Code:85321


Downloads per month over past year

University Staff: Request a correction | Centaur Editors: Update this record

Page navigation