Browsing Master theses by Author "Dan, Luo"
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Common risk factors in the cross-section of cryptocurrency returns An empirical study on different types of cryptocurrency anomalies: size, momentum, volatility and trend
Dan, Luo; Sebastian, Andersson (2021-06-30)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, ...