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Blockchain factors

Author

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  • Sakkas, Athanasios
  • Urquhart, Andrew

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.

Suggested Citation

  • Sakkas, Athanasios & Urquhart, Andrew, 2024. "Blockchain factors," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 94(C).
    • Handle: RePEc:eee:intfin:v:94:y:2024:i:c:s1042443124000787
    DOI: 10.1016/j.intfin.2024.102012
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    References listed on IDEAS

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