Common Risk Factors in Cryptocurrency

Abstract

This thesis confirms that two factors- size and momentum capture a cross-section of expected cryptocurrency returns. The thesis considers a comprehensive list of price- and market-related return predictors in the stock market and constructs their cryptocurrency counterparts. Six cryptocurrency characteristics form successful long-short strategies that generate sizable and statistically significant excess returns, and a version of three-factor model with cryptocurrency market is further designed in the paper to check for the performance of the cryptocurrency asset pricing models and to examine the abnormal return performance for the cryptocurrency trading strategies.