| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP13724 |
| DP13724 Blockchain Characteristics and the Cross-Section of Cryptocurrency Returns | |
| Siddharth Bhambhwani; Stefanos Delikouras; George Korniotis | |
| 发表日期 | 2019-05-09 |
| 出版年 | 2019 |
| 语种 | 英语 |
| 摘要 | We examine the relation between cryptocurrency returns and two blockchain characteristics, computing power and network size. We show that cryptocurrency prices are cointegrated with computing power and network. Further, cryptocurrency returns have positive and significant risk exposures to factors based on aggregate computing power and network size even after controlling for Bitcoin's return and sentiment-related factors. The two aggregate blockchain characteristics are procyclical asset pricing factors with positive risk premia and explain a significant portion of the cross-sectional variation in expected cryptocurrency returns. In out-of-sample tests, the blockchain factors can explain the return variation of a broad set of cryptocurrencies. |
| 主题 | Financial Economics |
| 关键词 | Bitcoin Ethereum Litecoin Dash Hashrate Network Cointegration Investor sentiment Gmm estimation |
| URL | https://cepr.org/publications/dp13724-4 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/542586 |
| 推荐引用方式 GB/T 7714 | Siddharth Bhambhwani,Stefanos Delikouras,George Korniotis. DP13724 Blockchain Characteristics and the Cross-Section of Cryptocurrency Returns. 2019. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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