Common Risk Factors in Cryptocurrency
“Nine cryptocurrency factors form successful long-short strategies that generate sizable and statistically significant excess returns.”
AssetCryptospot crypto
StrategyMomentum
TechniqueLinear factor model
ClaimExcess returnt-statistic
Also stated: Long-short
Missing from abstract: benchmark, out-of-sample test, costs, multiple testing, universe
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The paper's neighbourhoodMomentum and trend following by year
FamilyMomentum and trend following289Factor investing240Machine learning return prediction153News sentiment and text signals14818 more · 854
The family is counted across the whole universe. Asset, method and authors are counted inside the family.
| Similar papers | citation | same method | same asset | same authors | |
|---|---|---|---|---|---|
| Cross-Sectional Return Prediction in Cryptocurrency Markets Using Variational Latent Factor Models by Boyer | 2026 | ||||
| A Forecast Model For Crypto Currencies by Chen and Chen | 2026 | ||||
| On the (Almost) Stochastic Dominance of Cryptocurrency Factor Portfolios & Implications for Cryptocurrency Asset Pricing by Han et al. | 2021 | ||||
| Dissecting Time-Varying Risk Exposures in Cryptocurrency Markets | 2020 | ||||
| Heterogeneity in Overnight-versus-Intraday Stock-Return Behavior with Asymmetric Information and 52-week Price Anchoring by Chen et al. | 2026 |