Year: 2020
Type: article
Abstract: We establish that cryptocurrency returns are driven and can be predicted by factors that are specific to cryptocurrency markets. Cryptocurrency returns are exposed to cryptocurrency network factors but not cryptocurrency production factors. We construct the network factors to capture the user adoption of cryptocurrencies and the production factors to proxy for the costs of cryptocurrency production. Moreover, there is a strong time-series momentum effect, and proxies for investor attention strongly forecast future cryptocurrency returns.
Source: Review of Financial Studies
DOI: 10.1093/rfs/hhaa113
Authors: Yukun Liu, Aleh Tsyvinski
Institutions: University of Rochester, Yale University
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: bronze
OpenAlex ID: W3124611303