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Return
Blockchain factors
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DOI：10.1016/j.intfin.2024.102012.png)
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Abstract
En 中文
Identifying factors to explain cryptocurrency returns is challenging given the lack of fundamental information, however there exists a plethora of data from public blockchains. We use these on-chain data with the recent methodology of Harvey and Liu (2021) and show that a parsimonious two-factor model comprised of the value-weighted cryptocurrency market factor and the network distribution factor can explain the cross-section of individual cryptocurrency returns.
Keywords:
Crypto factor premia
Cryptocurrencies
Fintech
On-chain metrics
Predictability
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6.1
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1.5K
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