| dc.contributor.author | Dan, Luo | |
| dc.contributor.author | Sebastian, Andersson | |
| dc.date.accessioned | 2021-06-30T08:23:21Z | |
| dc.date.available | 2021-06-30T08:23:21Z | |
| dc.date.issued | 2021-06-30 | |
| dc.identifier.uri | http://hdl.handle.net/2077/68899 | |
| dc.description | MSc in Finance | sv |
| dc.description.abstract | This paper identifies three common risk factors in the returns on cryptocurrencies. The three common
risk factors are the market factor, size factor, and momentum factor. Investigating a collection of 461
cryptocurrencies, we find that the size factor impacts the size-related anomalous returns, and the momentum
factor affects the volatility-related anomalous returns. Moreover, the proposed three-factor model has
satisfied explanatory power on the cross-section of cryptocurrency returns. | sv |
| dc.language.iso | eng | sv |
| dc.relation.ispartofseries | Master Degree Project | sv |
| dc.relation.ispartofseries | 2021:134 | sv |
| dc.title | Common risk factors in the cross-section of cryptocurrency returns An empirical study on different types of cryptocurrency anomalies: size, momentum, volatility and trend | sv |
| dc.type | Text | |
| dc.setspec.uppsok | SocialBehaviourLaw | |
| dc.type.uppsok | H2 | |
| dc.contributor.department | University of Gothenburg/Graduate School | eng |
| dc.contributor.department | Göteborgs universitet/Graduate School | swe |
| dc.type.degree | Master 2-years | |
