| 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 whether blockchain characteristics such as network size and computing power affect cryptocurrency prices and returns. Consistent with theoretical models, cryptocurrency prices are cointegrated with these two blockchain characteristics. Further, a stochastic discount factor with aggregate network and computing power explains the cross-sectional variation in expected cryptocurrency returns at least as well as models with cryptocurrency return-based factors (market, size, momentum). Overall, our results show that theoretically motivated factors are important sources of risk for cryptocurrency prices and expected returns. |
| 主题 | Financial Economics |
| 关键词 | Hashrate Network Factor analysis Gmm Rolling estimation |
| URL | https://cepr.org/publications/dp13724-7 |
| 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/542587 |
| 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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