Value Premium, Network Adoption, and Factor Pricing of Crypto Assets
SSRN Electronic Journal
2022
- 15Citations
- 7,357Usage
- 53Captures
- 1Mentions
Metric Options: CountsSelecting the 1-year or 3-year option will change the metrics count to percentiles, illustrating how an article or review compares to other articles or reviews within the selected time period in the same journal. Selecting the 1-year option compares the metrics against other articles/reviews that were also published in the same calendar year. Selecting the 3-year option compares the metrics against other articles/reviews that were also published in the same calendar year plus the two years prior.
Example: if you select the 1-year option for an article published in 2019 and a metric category shows 90%, that means that the article or review is performing better than 90% of the other articles/reviews published in that journal in 2019. If you select the 3-year option for the same article published in 2019 and the metric category shows 90%, that means that the article or review is performing better than 90% of the other articles/reviews published in that journal in 2019, 2018 and 2017.
Citation Benchmarking is provided by Scopus and SciVal and is different from the metrics context provided by PlumX Metrics.
Example: if you select the 1-year option for an article published in 2019 and a metric category shows 90%, that means that the article or review is performing better than 90% of the other articles/reviews published in that journal in 2019. If you select the 3-year option for the same article published in 2019 and the metric category shows 90%, that means that the article or review is performing better than 90% of the other articles/reviews published in that journal in 2019, 2018 and 2017.
Citation Benchmarking is provided by Scopus and SciVal and is different from the metrics context provided by PlumX Metrics.
Most Recent News
Distributed Ledger: Crypto crash: What it means for your digital asset portfolio
A weekly look at the most important moves and news in crypto and what's on the horizon in digital assets.
Article Description
We document characteristics-based return anomalies in a large cross-section (>4,000) of crypto assets. Cryptocurrency returns exhibit momentum in the largest-cap group, reversals in other size groups, and strong crypto value and network adoption premia, from which we derive two novel factors to add to the cryptocurrency versions of market, size, and momentum factors. The resulting C-5 model outperforms extant models in pricing the cross-section of crypto assets and test portfolios in-sample and out-of-sample. We also provide the first comprehensive classification of all major cryptocurrencies based on their economic functionality. We then adopt methodologies from international finance to demonstrate significant market segmentation across token categories, underscoring the importance for considering token categories in investment and regulatory policymaking.
Bibliographic Details
Provide Feedback
Have ideas for a new metric? Would you like to see something else here?Let us know