The Cross-Section of Cryptocurrency Risk and Return

Artikel

We analyze the cross-section of more than 1200 cryptocurrencies derived from 350 exchanges in the time period from January 2014 to June 2020. Specifically, we investigate whether well-known cross-sectional characteristics like beta (Fama/MacBeth (1973)), size (Banz (1981)) or momentum ( Jegadeesh/Titman (1993)) – which have been intensively investigated in the equities literature – explain the cross-section of cryptocurrency returns. We apply the monotonic relationship (Mr.) test developed by Patton and Timmermann (2010) to test for dependencies between characteristics and average portfolio returns and standard deviations. We extend the existing literature on cryptocurrencies showing that there are various characteristics which are able to explain cryptocurrency risk and return.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Journal: Vierteljahrshefte zur Wirtschaftsforschung ; ISSN: 1861-1559 ; Volume: 89 ; Year: 2020 ; Issue: 4 ; Pages: 7-28

Klassifikation und Themen

• Klassifikation: Wirtschaft ; General Financial Markets: General (includes Measurement and Data) ; Portfolio Choice; Investment Decisions ; International Financial Markets
• Thema: Cryptocurrency ; Cryptocurrency risk ; Portfoliorendite

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Günther, Steffen ; Fieberg, Christian ; Poddig, Thorsten
• Ereignis: Veröffentlichung
• (wer): Duncker & Humblot
• (wo): Berlin
• (wann): 2020

Weitere Informationen

• DOI: doi:10.3790/vjh.89.4.7
• Handle: http://hdl.handle.net/10419/270511
• Letzte Aktualisierung: 10.03.2025, 11:44 MEZ