| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w25882 |
| 来源ID | Working Paper 25882 |
| Common Risk Factors in Cryptocurrency | |
| Yukun Liu; Aleh Tsyvinski; Xi Wu | |
| 发表日期 | 2019-05-27 |
| 出版年 | 2019 |
| 语种 | 英语 |
| 摘要 | We find that three factors – cryptocurrency market, size, and momentum – capture the cross-sectional expected cryptocurrency returns. We consider a comprehensive list of price- and market-related factors in the stock market, and construct their cryptocurrency counterparts. Nine cryptocurrency factors form successful long-short strategies that generate sizable and statistically significant excess returns. We show that all of these strategies are accounted for by the cryptocurrency three-factor model. |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w25882 |
| 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/583555 |
| 推荐引用方式 GB/T 7714 | Yukun Liu,Aleh Tsyvinski,Xi Wu. Common Risk Factors in Cryptocurrency. 2019. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w25882.pdf（530KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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