Blockchain factors

Athanasios Sakkas; Andrew Urquhart

doi:10.1016/j.intfin.2024.102012

Blockchain factors

Athanasios Sakkas, Andrew Urquhart^*

^*Corresponding author for this work

Finance

Research output: Contribution to journal › Article › peer-review

5 Downloads (Pure)

Abstract

Identifying factors to explain cryptocurrency returns is challenging given the lack of fundamental information, however there exists a plethora of data from public blockchains. We use these on-chain data with the recent methodology of Harvey and Liu (2021) and show that a parsimonious two-factor model comprised of the value-weighted cryptocurrency market factor and the network distribution factor can explain the cross-section of individual cryptocurrency returns.

Original language	English
Article number	102012
Journal	Journal of International Financial Markets, Institutions and Money
Volume	94
Early online date	13 Jun 2024
DOIs	https://doi.org/10.1016/j.intfin.2024.102012
Publication status	Published - Jul 2024

Access to Document

10.1016/j.intfin.2024.102012Licence: Creative Commons: Attribution (CC BY)

SakkasA2024BlockchainFinal published version, 667 KBLicence: Creative Commons: Attribution (CC BY)

Cite this

@article{4414112f18fb4a218865d2f7ebbe3cae,

title = "Blockchain factors",

abstract = "Identifying factors to explain cryptocurrency returns is challenging given the lack of fundamental information, however there exists a plethora of data from public blockchains. We use these on-chain data with the recent methodology of Harvey and Liu (2021) and show that a parsimonious two-factor model comprised of the value-weighted cryptocurrency market factor and the network distribution factor can explain the cross-section of individual cryptocurrency returns.",

author = "Athanasios Sakkas and Andrew Urquhart",

year = "2024",

month = jul,

doi = "10.1016/j.intfin.2024.102012",

language = "English",

volume = "94",

journal = "Journal of International Financial Markets, Institutions and Money",

issn = "1042-4431",

publisher = "Elsevier",

}

TY - JOUR

T1 - Blockchain factors

AU - Sakkas, Athanasios

AU - Urquhart, Andrew

PY - 2024/7

Y1 - 2024/7

N2 - Identifying factors to explain cryptocurrency returns is challenging given the lack of fundamental information, however there exists a plethora of data from public blockchains. We use these on-chain data with the recent methodology of Harvey and Liu (2021) and show that a parsimonious two-factor model comprised of the value-weighted cryptocurrency market factor and the network distribution factor can explain the cross-section of individual cryptocurrency returns.

AB - Identifying factors to explain cryptocurrency returns is challenging given the lack of fundamental information, however there exists a plethora of data from public blockchains. We use these on-chain data with the recent methodology of Harvey and Liu (2021) and show that a parsimonious two-factor model comprised of the value-weighted cryptocurrency market factor and the network distribution factor can explain the cross-section of individual cryptocurrency returns.

U2 - 10.1016/j.intfin.2024.102012

DO - 10.1016/j.intfin.2024.102012

M3 - Article

SN - 1042-4431

VL - 94

JO - Journal of International Financial Markets, Institutions and Money

JF - Journal of International Financial Markets, Institutions and Money

M1 - 102012

ER -