Common risk factors in the cross-section of cryptocurrency returns An empirical study on different types of cryptocurrency anomalies: size, momentum, volatility and trend
Abstract
This paper identifies three common risk factors in the returns on cryptocurrencies. The three common
risk factors are the market factor, size factor, and momentum factor. Investigating a collection of 461
cryptocurrencies, we find that the size factor impacts the size-related anomalous returns, and the momentum
factor affects the volatility-related anomalous returns. Moreover, the proposed three-factor model has
satisfied explanatory power on the cross-section of cryptocurrency returns.
Degree
Master 2-years
Other description
MSc in Finance
Collections
View/ Open
Date
2021-06-30Author
Dan, Luo
Sebastian, Andersson
Series/Report no.
Master Degree Project
2021:134
Language
eng