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Cryptocurrencies Meet Equities: Risk Factors And Asset Pricing Relationships

Author

Listed:
  • Victoria Dobrynskaya

    (National Research University Higher School of Economics)

  • Mikhail Dubrovskiy

    (National Research University Higher School of Economics)

Abstract

We consider a variety of cryptocurrency and equity risk factors as potential forces that drive cryptocurrency returns and carry risk premiums. In a cross-section of 2,000 biggest cryptocurrencies, only downside market risk, cryptocurrency size and policy uncertainty factors are systematically priced with significant premiums. Momentum premium has vanished in the recent years. Equity market risk, particularly equity downside market risk, appears to be more important than cryptocurrency market risk, suggesting greater linkages between cryptocurrency and equity markets than we used to think. Global and US equity factors are the most relevant for the cryptocurrency market

Suggested Citation

  • Victoria Dobrynskaya & Mikhail Dubrovskiy, 2022. "Cryptocurrencies Meet Equities: Risk Factors And Asset Pricing Relationships," HSE Working papers WP BRP 86/FE/2022, National Research University Higher School of Economics.
    • Handle: RePEc:hig:wpaper:86/fe/2022
    as

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    References listed on IDEAS

    as
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    More about this item

    Keywords

    cryptocurrency; asset pricing; risk factors; factor models; alternative investments;
    All these keywords.

    JEL classification:

    • D14 - Microeconomics - - Household Behavior - - - Household Saving; Personal Finance
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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