Toward a Factor Structure in Crypto Asset Returns by Jiasun Li, Guanxi Yi :: SSRN

Date Written: October 1, 2018

Abstract

A new market for crypto assets has emerged from active trading of major cryptocurrencies and the listing of many ICO tokens. We conduct an early investigation into potential factor structures in the expected returns of crypto assets. We find that crypto assets with large market capitalization, low volatility, and high past returns tend to outperform in the following month. These are suggestive evidences for an emerging factor structure, even though crypto asset returns are still largely dominated by idiosyncratic noises. Our findings could help investors make better decisions in the nascent crypto asset market.

Keywords: Asset Pricing, Crypto Asset, Expected Return, Factors, ICO, Smart Beta

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