On the (almost) stochastic dominance of cryptocurrency factor portfolios and implications for cryptocurrency asset pricing
研究发现8个加密货币因子投资组合具有随机优势，其收益无法被现有三因子模型解释，因此提出了一个用错误定价因子替代动量因子的新三因子模型，显著提升了定价效果。
Abstract Cryptocurrency returns are highly nonnormal, casting doubt on the standard performance metrics. We apply almost stochastic dominance, which does not require any assumption about the return distribution or degree of risk aversion. From 29 long–short cryptocurrency factor portfolios, we find eight that dominate our four benchmarks. Their returns cannot be fully explained by the three‐factor coin model of Liu et al. So we develop a new three‐factor model where momentum is replaced by a mispricing factor based on size and risk‐adjusted momentum, which significantly improves pricing performance.