Common Risk Factors in Cryptocurrency
- Title
- Common Risk Factors in Cryptocurrency
- Other Titles
- 암호화폐의 위험요인에 관한 연구
- Author
- 허벽륜
- Alternative Author(s)
- XU BILUN
- Advisor(s)
- 강형구
- Issue Date
- 2024. 2
- Publisher
- 한양대학교 대학원
- Degree
- Master
- 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.
- URI
- http://hanyang.dcollection.net/common/orgView/200000722305https://repository.hanyang.ac.kr/handle/20.500.11754/189434
- Appears in Collections:
- GRADUATE SCHOOL[S](대학원) > BUSINESS ADMINISTRATION(경영학과) > Theses (Master)
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