Risks and Returns of Cryptocurrency
研究发现加密货币回报受其特有市场因素驱动，网络采用因素可预测回报，而生产成本因素则无显著影响，同时存在时间序列动量效应和投资者注意力对回报的预测作用。
Abstract We establish that cryptocurrency returns are driven and can be predicted by factors that are specific to cryptocurrency markets. Cryptocurrency returns are exposed to cryptocurrency network factors but not cryptocurrency production factors. We construct the network factors to capture the user adoption of cryptocurrencies and the production factors to proxy for the costs of cryptocurrency production. Moreover, there is a strong time-series momentum effect, and proxies for investor attention strongly forecast future cryptocurrency returns.