全球智库信息集成服务系统(G2TT): Risks and Returns of Cryptocurrency

G2TT

来源类型	Working Paper
规范类型	报告
DOI	10.3386/w24877
来源ID	Working Paper 24877
	Risks and Returns of Cryptocurrency
	Yukun Liu; Aleh Tsyvinski
发表日期	2018-08-06
出版年	2018
语种	英语
摘要	We establish that the risk-return tradeoff of cryptocurrencies (Bitcoin, Ripple, and Ethereum) is distinct from those of stocks, currencies, and precious metals. Cryptocurrencies have no exposure to most common stock market and macroeconomic factors. They also have no exposure to the returns of currencies and commodities. In contrast, we show that the cryptocurrency returns can be predicted by factors which are specific to cryptocurrency markets. Specifically, we determine that there is a strong time-series momentum effect and that proxies for investor attention strongly forecast cryptocurrency returns. Finally, we create an index of exposures to cryptocurrencies of 354 industries in the US and 137 industries in China.
主题	Financial Economics ; Portfolio Selection and Asset Pricing ; Corporate Finance
URL	https://www.nber.org/papers/w24877
来源智库	National Bureau of Economic Research (United States)
引用统计
资源类型	智库出版物
条目标识符	http://119.78.100.153/handle/2XGU8XDN/582551
推荐引用方式 GB/T 7714	Yukun Liu,Aleh Tsyvinski. Risks and Returns of Cryptocurrency. 2018.