Toward a Factor Structure in Crypto Asset Returns

19 Pages Posted: 24 Oct 2018 Last revised: 6 Dec 2018

See all articles by Jiasun Li

Jiasun Li

George Mason University - Department of Finance

Guanxi Yi

Metis Themis Insights; Shanghai University of Finance and Economics

Date Written: October 1, 2018

Abstract

A new market for crypto assets has emerged from active trading of major cryptocurrencies and the listing of many ICO tokens. We conduct an early investigation into potential factor structures in the expected returns of crypto assets. We find that crypto assets with large market capitalization, low volatility, and high past returns tend to outperform in the following month. These are suggestive evidences for an emerging factor structure, even though crypto asset returns are still largely dominated by idiosyncratic noises. Our findings could help investors make better decisions in the nascent crypto asset market.

Keywords: Asset Pricing, Crypto Asset, Expected Return, Factors, ICO, Smart Beta

Suggested Citation

Li, Jiasun and Yi, Guanxi, Toward a Factor Structure in Crypto Asset Returns (October 1, 2018). Available at SSRN: https://ssrn.com/abstract=3258231 or http://dx.doi.org/10.2139/ssrn.3258231

Jiasun Li (Contact Author)

George Mason University - Department of Finance ( email )

Fairfax, VA 22030
United States

HOME PAGE: http://sites.google.com/view/jiasunli

Guanxi Yi

Metis Themis Insights ( email )

392 S Marengo Ave
Unit 108
Pasadena, CA California 91101
United States
6266918176 (Phone)

Shanghai University of Finance and Economics ( email )

Shanghai

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