An empirical investigation on risk factors in cryptocurrency futures
研究了2017至2021年主要加密货币的横截面资产定价模式，发现基差、动量及基差动量因子能获得统计上显著的超额收益，其中基差是预测加密货币期货收益差异的最强信号。
Abstract We investigate the cross‐section asset‐pricing patterns of major cryptocurrencies from 2017 to 2021. We show that the basis, momentum, and basis–momentum factors earn statistically significant excess returns, a result consistent with the findings reported in the commodity futures literature. The basis is the strongest signal predicting cross‐sectional differences in cryptocurrency futures returns; the momentum‐induced risk premium is not statistically powerful, whereas the basis momentum‐induced risk premium disappears when accounting for the basis‐induced risk premium. Daily factor returns are statistically much stronger than weekly factor returns. Monthly factor returns are nonsignificant.