Abstract
Cryptocurrency returns are highly nonnormal, casting doubt on the standard performance metrics. We apply almost stochastic dominance, 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. 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.
| Original language | English |
|---|---|
| Pages (from-to) | 1125-1164 |
| Number of pages | 40 |
| Journal | European Financial Management |
| Volume | 30 |
| Issue number | 3 |
| Early online date | 1 Jun 2023 |
| DOIs | |
| Publication status | Published - 30 Jun 2024 |
Data Availability Statement
Data are available from the authors on request, with the caveat that requestors should also be subscribers to parts of the dataset that are derived from commercial providers that require subscription, such as CRSP.Keywords
- almost stochastic dominance
- asset pricing
- cryptocurrencies
- mispricing
ASJC Scopus subject areas
- Economics, Econometrics and Finance(all)
- Accounting