“Risks and Returns of Cryptocurrency” (2020), by Yukun Liu et al. Economics research paper. Original abstract below, unchanged. No free PDF was found.

Risks and Returns of Cryptocurrency

Yukun Liu, Aleh Tsyvinski · September 12, 2020 · Economics

Abstract

We establish that cryptocurrency returns are driven and can be predicted by factors that are specific to cryptocurrency markets. Cryptocurrency returns are exposed to cryptocurrency network factors but not cryptocurrency production factors. We construct the network factors to capture the user adoption of cryptocurrencies and the production factors to proxy for the costs of cryptocurrency production. Moreover, there is a strong time-series momentum effect, and proxies for investor attention strongly forecast future cryptocurrency returns.

Source page DOI: 10.1093/rfs/hhaa113