Asset Pricing Analysis of 18 Cryptocurrencies

DOI

10.2991/aebmr.k.200606.048How to use a DOI?

Keywords

Cryptocurrency, Asset Pricing, 3 Factors Model

Abstract

This paper identifies three factor pricing model for cryptocurrency, which are related to cryptocurrency’s market return, size (market capitalization), and network-value-to transaction ratio (NVT ratio). Using 18 cryptocurrencies over the period from 01 January 2016 to 25 September 2019, we find that small cryptocurrencies have higher returns than big cryptocurrencies and results show that most cryptocurrencies have significant exposures to proposed three factors pricing model, which means the proposed three factors pricing model can explain average cryptocurrency excess return well.

Copyright

© 2020, the Authors. Published by Atlantis Press.

Open Access

This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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TY  - CONF
AU  - Sasmita Claudia Pontoh
AU  - Eko Rizkianto
PY  - 2020
DA  - 2020/06/09
TI  - Asset Pricing Analysis of 18 Cryptocurrencies
BT  - Proceedings of the 23rd Asian Forum of Business Education(AFBE 2019)
PB  - Atlantis Press
SP  - 279
EP  - 282
SN  - 2352-5428
UR  - https://doi.org/10.2991/aebmr.k.200606.048
DO  - 10.2991/aebmr.k.200606.048
ID  - Pontoh2020
ER  -