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

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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

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

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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.",

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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.

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DO - 10.1016/j.intfin.2024.102012

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JO - Journal of International Financial Markets, Institutions and Money

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Blockchain factors

Abstract

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