Is there a value premium in cryptoasset markets?

This study examines if blockchain fundamentals determine cryptoasset prices. Previous research has shown that non-fundamental factors affect cryptoasset prices however, whether blockchain fundamentals affect cryptoasset prices, lacks empirical research. Using data for 652 cryptoassets, I specify active addresses-to-network value as a valuation metric that captures transaction benefits. I find anomalous returns that increase with active addresses-to-network value ratio, a proxy for the value anomaly. Cryptoassets with a high active addresses-to-network value ratio yield on average 3.7 percentage points higher weekly returns than cryptoassets with low active addresses-to-network value ratio, and comparable size. A four-factor model directed at capturing the value pattern in average returns performs better than the three-factor model. Importantly, my results suggest that cryptoasset prices are related to their blockchain fundamentals.