Common risk factors in the cross-section of cryptocurrency returns An empirical study on different types of cryptocurrency anomalies: size, momentum, volatility and trend

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.