Common Risk Factors in Cryptocurrency
研究发现加密货币市场、规模和动量三个因素能解释加密货币的预期回报，并构建了三因子模型，解释了十种加密货币策略的超额收益。
ABSTRACT 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 return predictors in the stock market and construct their cryptocurrency counterparts. Ten cryptocurrency characteristics form successful long‐short strategies that generate sizable and statistically significant excess returns, and we show that all of these strategies are accounted for by the cryptocurrency three‐factor model. Lastly, we examine potential underlying mechanisms of the cryptocurrency size and momentum effects.