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A three-factor pricing model for cryptocurrencies

Citations

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Cited by:

  1. Jan Sila & Michael Mark & Ladislav Kristoufek & Thomas A. Weber, 2025. "Crypto market betas: the limits of predictability and hedging," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 11(1), pages 1-28, December.
  2. Peng, Sanshao & Shams, Syed & Prentice, Catherine & Sarker, Tapan, 2024. "Consumer confidence and cryptocurrency excess returns: A three-factor model," Global Finance Journal, Elsevier, vol. 62(C).
  3. Abd Rabbo, Fatima & Disli, Mustafa, 2025. "Style investing and return comovement in the cryptocurrency market," Research in International Business and Finance, Elsevier, vol. 77(PB).
  4. 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.
  5. Chen, Rongxin & Lepori, Gabriele M. & Tai, Chung-Ching & Sung, Ming-Chien, 2022. "Explaining cryptocurrency returns: A prospect theory perspective," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 79(C).
  6. Hsieh, Chia-Hsun & Huang, Pao-Hsien & Liu, Hung-Chun, 2025. "State transitions and momentum effect in cryptocurrency market," Finance Research Letters, Elsevier, vol. 86(PA).
  7. Wang, Qiyu & Chong, Terence Tai-Leung, 2021. "Factor pricing of cryptocurrencies," The North American Journal of Economics and Finance, Elsevier, vol. 57(C).
  8. Zaremba, Adam & Bilgin, Mehmet Huseyin & Long, Huaigang & Mercik, Aleksander & Szczygielski, Jan J., 2021. "Up or down? Short-term reversal, momentum, and liquidity effects in cryptocurrency markets," International Review of Financial Analysis, Elsevier, vol. 78(C).
  9. Elise Alfieri & Yann Ferrat, 2022. "Une meilleure rémunération des mineurs : un effet positif sur la performance financière des cryptomonnaies," Innovations, De Boeck Université, vol. 0(2), pages 53-77.
  10. Aharon, David Y. & Demir, Ender & Lau, Chi Keung Marco & Zaremba, Adam, 2022. "Twitter-Based uncertainty and cryptocurrency returns," Research in International Business and Finance, Elsevier, vol. 59(C).
  11. Christian Fieberg & Gerrit Liedtke & Daniel Metko & Adam Zaremba, 2023. "Cryptocurrency factor momentum," Quantitative Finance, Taylor & Francis Journals, vol. 23(12), pages 1853-1869, November.
  12. Tavares, Natalia Alves & da Gama Silva, Paulo Vitor Jordão & Klotzle, Marcelo Cabus, 2025. "Investigation of the intentional and spurious herding effects in the cryptocurrency market with global events," The Quarterly Review of Economics and Finance, Elsevier, vol. 102(C).
  13. Mercik, Aleksander & Będowska-Sójka, Barbara & Karim, Sitara & Zaremba, Adam, 2025. "Cross-sectional interactions in cryptocurrency returns," International Review of Financial Analysis, Elsevier, vol. 97(C).
  14. Steffen Günther & Christian Fieberg & Thorsten Poddig, 2020. "The Cross-Section of Cryptocurrency Risk and Return," Vierteljahrshefte zur Wirtschaftsforschung / Quarterly Journal of Economic Research, DIW Berlin, German Institute for Economic Research, vol. 89(4), pages 7-28.
  15. Tomé Lima & Helder Sebastião, 2023. "Native Market Factors for Pricing Cryptocurrencies," Notas Económicas, Faculty of Economics, University of Coimbra, issue 57, pages 71-85, December.
  16. Andrew Urquhart, 2024. "The environmental, social, and governance (ESG) aspects of Bitcoin," Chapters, in: Henrik Cronqvist & Desiree-Jessica Pely (ed.), The Elgar Companion to Decentralized Finance, Digital Assets, and Blockchain Technologies, chapter 15, pages 298-312, Edward Elgar Publishing.
  17. Dobrynskaya, Victoria, 2024. "Is downside risk priced in cryptocurrency market?," International Review of Financial Analysis, Elsevier, vol. 91(C).
  18. Syed Jawad Hussain Shahzad & Elie Bouri & Tanveer Ahmad & Muhammad Abubakr Naeem, 2022. "Extreme tail network analysis of cryptocurrencies and trading strategies," Post-Print hal-05086285, HAL.
  19. Grobys, Klaus & Junttila, Juha, 2021. "Speculation and lottery-like demand in cryptocurrency markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 71(C).
  20. Milan Fičura, 2023. "Impact of size and volume on cryptocurrency momentum and reversal," FFA Working Papers 5.003, Prague University of Economics and Business, revised 05 Apr 2023.
  21. Elie Bouri & Ladislav Kristoufek & Tanveer Ahmad & Syed Jawad Hussain Shahzad, 2024. "Microstructure noise and idiosyncratic volatility anomalies in cryptocurrencies," Annals of Operations Research, Springer, vol. 334(1), pages 547-573, March.
  22. Jasiak, Joann & Zhong, Cheng, 2024. "Intraday and daily dynamics of cryptocurrency," International Review of Economics & Finance, Elsevier, vol. 96(PB).
  23. Han, SeungOh, 2025. "Investor sentiment and cross-section of cryptocurrency returns," Journal of Behavioral and Experimental Finance, Elsevier, vol. 46(C).
  24. Grobys, Klaus, 2023. "A Fractal and Comparative View of the Memory of Bitcoin and S&P 500 Returns," Research in International Business and Finance, Elsevier, vol. 66(C).
  25. Liebi, Luca J., 2022. "Is there a value premium in cryptoasset markets?," Economic Modelling, Elsevier, vol. 109(C).
  26. Benedetti, Hugo & Rodríguez-Garnica, Gabriel, 2025. "Does what happens on-chain stays on-chain? The dynamics of blockchain token transactions and prices," Journal of International Money and Finance, Elsevier, vol. 158(C).
  27. Meghna Jayasankar, 2025. "Efficient Market Hypothesis Versus Multifractality: Evidence from the Stablecoin Market," Computational Economics, Springer;Society for Computational Economics, vol. 66(6), pages 5033-5054, December.
  28. Urquhart, Andrew, 2022. "Under the hood of the Ethereum blockchain," Finance Research Letters, Elsevier, vol. 47(PA).
  29. Cakici, Nusret & Shahzad, Syed Jawad Hussain & Będowska-Sójka, Barbara & Zaremba, Adam, 2024. "Machine learning and the cross-section of cryptocurrency returns," International Review of Financial Analysis, Elsevier, vol. 94(C).
  30. Bui, Mai & Pham, Huy & Nguyen Thanh, Binh & Tiwari, Aviral Kumar, 2024. "Revisiting the determinants of cryptocurrency excess return: Does scarcity matter?," International Review of Economics & Finance, Elsevier, vol. 96(PC).
  31. Grobys, Klaus, 2021. "What do we know about the second moment of financial markets?," International Review of Financial Analysis, Elsevier, vol. 78(C).
  32. Long, Huaigang & Demir, Ender & Będowska-Sójka, Barbara & Zaremba, Adam & Shahzad, Syed Jawad Hussain, 2022. "Is geopolitical risk priced in the cross-section of cryptocurrency returns?," Finance Research Letters, Elsevier, vol. 49(C).
  33. Molero González, Laura & Cerqueti, Roy & Mattera, Raffaele & Sánchez Granero, Miguel Ángel & Trinidad Segovia, Juan Evangelista, 2025. "Analyzing clustered factors in the cryptocurrency market with Random Matrix Theory," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 665(C).
  34. Jia, Boxiang & Goodell, John W. & Shen, Dehua, 2022. "Momentum or reversal: Which is the appropriate third factor for cryptocurrencies?," Finance Research Letters, Elsevier, vol. 45(C).
  35. Josué Thélissaint, 2024. "Assessing Cryptomarket Risks: Macroeconomic Forces, Market Shocks and Behavioural Dynamics," Economics Working Paper Archive (University of Rennes & University of Caen) 2024-14, Center for Research in Economics and Management (CREM), University of Rennes, University of Caen and CNRS.
  36. Zhao, Yingxiu & Goodell, John W. & Shen, Dehua, 2024. "Spillover effects according to classification of cryptocurrency," Finance Research Letters, Elsevier, vol. 65(C).
  37. José Almeida & Tiago Cruz Gonçalves, 2024. "Cryptocurrency market microstructure: a systematic literature review," Annals of Operations Research, Springer, vol. 332(1), pages 1035-1068, January.
  38. Klaus Grobys & James W. Kolari & Davide Sandretto & Syed Jawad H. Shahzad & Janne Äijö, 2025. "Cryptocurrency momentum has (not) its moments," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 39(4), pages 443-476, December.
  39. Chen, Rongxin & Lepori, Gabriele M. & Tai, Chung-Ching & Sung, Ming-Chien, 2022. "Can salience theory explain investor behaviour? Real-world evidence from the cryptocurrency market," International Review of Financial Analysis, Elsevier, vol. 84(C).
  40. Yu, Mengxia & Xu, Ke & Zheng, Xinwei, 2025. "Reprint of: Mimicking crypto portfolios in sustainable investment," The British Accounting Review, Elsevier, vol. 57(1).
  41. Simon Hediger & Jeffrey Näf & Marc S. Paolella & Paweł Polak, 2023. "Heterogeneous tail generalized common factor modeling," Digital Finance, Springer, vol. 5(2), pages 389-420, June.
  42. Li, Xiao & Wu, Ruoxi & Wang, Chen, 2024. "Impacts of bitcoin on monetary system: Is China's bitcoin ban necessary?," Research in International Business and Finance, Elsevier, vol. 69(C).
  43. Frankovic, Jozo & Liu, Bin & Suardi, Sandy, 2022. "On spillover effects between cryptocurrency-linked stocks and the cryptocurrency market: Evidence from Australia," Global Finance Journal, Elsevier, vol. 54(C).
  44. Proelss, Juliane & Schweizer, Denis & Buchwalter, Bastien, 2025. "Do risk preferences drive momentum in cryptocurrencies?," Finance Research Letters, Elsevier, vol. 73(C).
  45. Cynthia Weiyi Cai & Rui Xue & Bi Zhou, 2023. "Cryptocurrency puzzles: a comprehensive review and re-introduction," Journal of Accounting Literature, Emerald Group Publishing Limited, vol. 46(1), pages 26-50, June.
  46. Leong, Minhao & Kwok, Simon, 2023. "The pricing of jump and diffusive risks in the cross-section of cryptocurrency returns," Journal of Empirical Finance, Elsevier, vol. 74(C).
  47. Lan, Tian & Frömmel, Michael, 2025. "Risk factors in cryptocurrency pricing," International Review of Financial Analysis, Elsevier, vol. 105(C).
  48. Élise Alfieri & Yann Ferrat, 2022. "The larger compensation for miners, the higher positive effect on the financial performance of cryptocurrencies [Une meilleure rémunération des mineurs : un effet positif sur la performance financière des cryptomonnaies]," Post-Print hal-03670074, HAL.
  49. Shahzad, Syed Jawad Hussain & Bouri, Elie & Ahmad, Tanveer & Naeem, Muhammad Abubakr, 2022. "Extreme tail network analysis of cryptocurrencies and trading strategies," Finance Research Letters, Elsevier, vol. 44(C).
  50. Abdollah Ah Mand, 2025. "Cryptocurrency returns and cryptocurrency uncertainty: a time–frequency analysis," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 11(1), pages 1-29, December.
  51. Han, SeungOh, 2024. "Nonlinear relationship between cryptocurrency returns and price sensitivity to market uncertainty," Finance Research Letters, Elsevier, vol. 68(C).
  52. Huy Pham & Trang Ngoc Doan Tran & Ngoc Thi Thanh Nguyen & Khoa Dang Duong, 2024. "The reversal in the cryptocurrency market before and during the Covid-19 pandemic: Does investor attention matter?," PLOS ONE, Public Library of Science, vol. 19(11), pages 1-23, November.
  53. Huynh, Nhan & Phan, Hoa, 2023. "Emotions in the crypto market: Do photos really speak?," Finance Research Letters, Elsevier, vol. 55(PB).
  54. Nakagawa, Kei & Sakemoto, Ryuta, 2025. "New behaviorally-based cross-sectional reversal portfolios in the cryptocurrency market and market uncertainty," Finance Research Letters, Elsevier, vol. 85(PA).
  55. Sakkas, Athanasios & Urquhart, Andrew, 2024. "Blockchain factors," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 94(C).
  56. Łęt Blanka & Sobański Konrad & Świder Wojciech & Włosik Katarzyna, 2022. "Is the cryptocurrency market efficient? Evidence from an analysis of fundamental factors for Bitcoin and Ethereum," International Journal of Management and Economics, Warsaw School of Economics, Collegium of World Economy, vol. 58(4), pages 351-370, December.
  57. Fieberg, Christian & Liedtke, Gerrit & Zaremba, Adam, 2024. "Cryptocurrency anomalies and economic constraints," International Review of Financial Analysis, Elsevier, vol. 94(C).
  58. Fieberg, Christian & Günther, Steffen & Poddig, Thorsten & Zaremba, Adam, 2024. "Non-standard errors in the cryptocurrency world," International Review of Financial Analysis, Elsevier, vol. 92(C).
  59. Wang, Chen & Shen, Dehua & Li, Youwei, 2022. "Aggregate Investor Attention and Bitcoin Return: The Long Short-term Memory Networks Perspective," Finance Research Letters, Elsevier, vol. 49(C).
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