IDEAS home Printed from https://ideas.repec.org/a/eee/finlet/v65y2024ics1544612324005154.html
   My bibliography  Save this article

Common factors in the returns on cryptocurrencies

Author

Listed:
  • Jung, Woosung
  • Park, Haerang

Abstract

We find that the three risk factors of Liu et al. (2022) capture only one-third of the variation in cryptocurrency excess returns. The remaining variation is mostly driven by a single common component that lies outside the three factor model framework. Although we cannot explain this fully using a large set of 135 global macroeconomic and financial variables as candidate proxies, the unknown common component seems to be associated with the value of fiat money. The role of the common component in cryptocurrency valuation becomes more dominant during monetary easing than during tightening periods.

Suggested Citation

  • Jung, Woosung & Park, Haerang, 2024. "Common factors in the returns on cryptocurrencies," Finance Research Letters, Elsevier, vol. 65(C).
    • Handle: RePEc:eee:finlet:v:65:y:2024:i:c:s1544612324005154
    DOI: 10.1016/j.frl.2024.105485
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S1544612324005154
    Download Restriction: Full text for ScienceDirect subscribers only
    File URL: https://libkey.io/10.1016/j.frl.2024.105485?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    More about this item

    Keywords

    Cryptocurrency; Common factor; Empirical asset pricing; Fiat money;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:finlet:v:65:y:2024:i:c:s1544612324005154. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/frl .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.