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Cryptocurrencies and asset pricing

Author

Listed:
  • Andros Gregoriou

Abstract

We demonstrate that investors obtain abnormal returns by trading cryptocurrencies daily on the London Stock Exchange from 2014–2017. Excess returns persist once we account for systematic risk, size, value, momentum, profitability and investment. Investor abnormal returns in cryptocurrencies implies inefficiency.

Suggested Citation

  • Andros Gregoriou, 2019. "Cryptocurrencies and asset pricing," Applied Economics Letters, Taylor & Francis Journals, vol. 26(12), pages 995-998, July.
    • Handle: RePEc:taf:apeclt:v:26:y:2019:i:12:p:995-998
    DOI: 10.1080/13504851.2018.1527439
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    Cited by:

    1. Gianna Figà-Talamanca & Marco Patacca, 2020. "Disentangling the relationship between Bitcoin and market attention measures," Economia e Politica Industriale: Journal of Industrial and Business Economics, Springer;Associazione Amici di Economia e Politica Industriale, vol. 47(1), pages 71-91, March.
    2. Liebi, Luca J., 2022. "Is there a value premium in cryptoasset markets?," Economic Modelling, Elsevier, vol. 109(C).
    3. Liu, Wei & Semeyutin, Artur & Lau, Chi Keung Marco & Gozgor, Giray, 2020. "Forecasting Value-at-Risk of Cryptocurrencies with RiskMetrics type models," Research in International Business and Finance, Elsevier, vol. 54(C).
    4. Liu, Weiyi & Liang, Xuan & Cui, Guowei, 2020. "Common risk factors in the returns on cryptocurrencies," Economic Modelling, Elsevier, vol. 86(C), pages 299-305.
    5. Bennett, Donyetta & Mekelburg, Erik & Williams, T.H., 2023. "BeFi meets DeFi: A behavioral finance approach to decentralized finance asset pricing," Research in International Business and Finance, Elsevier, vol. 65(C).
    6. Kim, Jang Ho, 2022. "Analyzing diversification benefits of cryptocurrencies through backfill simulation," Finance Research Letters, Elsevier, vol. 50(C).
    7. Almeida, José & Gonçalves, Tiago Cruz, 2023. "A systematic literature review of investor behavior in the cryptocurrency markets," Journal of Behavioral and Experimental Finance, Elsevier, vol. 37(C).
    8. Ha Nguyen & Bin Liu & Nirav Y. Parikh, 2020. "Exploring the short-term momentum effect in the cryptocurrency market," Evolutionary and Institutional Economics Review, Springer, vol. 17(2), pages 425-443, July.

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