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The Journal of Alternative Investments

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Toward a Factor Structure in Crypto Asset Returns

Jiasun Li and Guanxi Yi
The Journal of Alternative Investments Spring 2019, 21 (4) 56-66; DOI: https://doi.org/10.3905/jai.2019.21.4.056
Jiasun Li
is an assistant professor of finance at George Mason University in Fairfax, VA
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Guanxi Yi
is chief investment officer and head of research at Digital Asset Strategies in Culver City, CA
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Abstract

A new market has emerged from active trading of major cryptocurrencies and the listing of many initial coin offering (ICO) tokens. The authors conduct an early investigation into potential factor structures in the expected returns of crypto assets. They 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 noise. Their findings could help investors make better decisions in the nascent crypto asset market.

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The Journal of Alternative Investments: 21 (4)
The Journal of Alternative Investments
Vol. 21, Issue 4
Spring 2019
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Toward a Factor Structure in Crypto Asset Returns
Jiasun Li, Guanxi Yi
The Journal of Alternative Investments Mar 2019, 21 (4) 56-66; DOI: 10.3905/jai.2019.21.4.056

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Toward a Factor Structure in Crypto Asset Returns
Jiasun Li, Guanxi Yi
The Journal of Alternative Investments Mar 2019, 21 (4) 56-66; DOI: 10.3905/jai.2019.21.4.056
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  • Article
    • Abstract
    • OVERVIEW OF THE CRYPTO ASSET MARKET
    • DATA SAMPLE CONSTRUCTION
    • FACTOR CONSTRUCTION, RETURNS, AND REGRESSION RESULTS
    • CONCLUSION
    • ACKNOWLEDGMENTS
    • APPENDIX
    • ENDNOTES
    • REFERENCES
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