Cryptocurrency returns are highly non-normal, casting doubt on the standard performance metrics. We apply almost stochastic dominance (ASD), which does not require any assumption about the return distribution or degree of risk aversion. From 29 long-short cryptocurrency factor portfolios, we find eight that dominate our four benchmarks. Their returns cannot be fully explained by the three-factor coin model of Liu et al. (2022). So we develop a new three-factor model where momentum is replaced by a mispricing factor based on size and risk-adjusted momentum, which significantly improves pricing performance.
|Number of pages||102|
|Publication status||Submitted - Jun 2021|
- Asset Pricing
- Almost Stochastic Dominance
ASJC Scopus subject areas
- Economics, Econometrics and Finance (miscellaneous)
- Business, Management and Accounting(all)