On the (almost) stochastic dominance of cryptocurrency factor portfolios and implications for cryptocurrency asset pricing
dc.contributor.author | Han, W | |
dc.contributor.author | Newton, D | |
dc.contributor.author | Platanakis, E | |
dc.contributor.author | Sutcliffe, C | |
dc.contributor.author | Ye, X | |
dc.date.accessioned | 2023-06-05T14:02:54Z | |
dc.date.issued | 2023-06-01 | |
dc.date.updated | 2023-06-05T13:00:22Z | |
dc.description.abstract | Cryptocurrency returns are highly nonnormal, casting doubt on the standard performance metrics. We apply almost stochastic dominance, which does not require any assumption about the return distribution or degree of risk aversion. From 29 long–short cryptocurrency factor portfolios, we find eight that dominate our four benchmarks. Their returns cannot be fully explained by the three-factor coin model of Liu et al. So we develop a new three-factor model where momentum is replaced by a mispricing factor based on size and risk-adjusted momentum, which significantly improves pricing performance. | en_GB |
dc.identifier.citation | Published online 1 June 2023 | en_GB |
dc.identifier.doi | https://doi.org/10.1111/eufm.12431 | |
dc.identifier.uri | http://hdl.handle.net/10871/133297 | |
dc.identifier | ORCID: 0000-0003-4849-2553 (Ye, Xiaoxia) | |
dc.language.iso | en | en_GB |
dc.publisher | Wiley | en_GB |
dc.rights | © 2023 The Authors. European Financial Management published by John Wiley & Sons Ltd. This is an open access article under the terms of the Creative Commons Attribution License, which permits use, distribution and reproduction in any medium, provided the original work is properly cited. | en_GB |
dc.subject | Cryptocurrencies | en_GB |
dc.subject | Asset Pricing | en_GB |
dc.subject | Almost Stochastic Dominance | en_GB |
dc.subject | Mispricing | en_GB |
dc.title | On the (almost) stochastic dominance of cryptocurrency factor portfolios and implications for cryptocurrency asset pricing | en_GB |
dc.type | Article | en_GB |
dc.date.available | 2023-06-05T14:02:54Z | |
dc.identifier.issn | 1354-7798 | |
dc.description | This is the final version. Available on open access from Wiley via the DOI in this record | en_GB |
dc.description | Data availability statement: Data are available from the authors on request, with the caveat that requestors should also be subscribers to parts of the dataset that are derived from commercial providers that require subscription, such as CRSP. | en_GB |
dc.identifier.eissn | 1468-036X | |
dc.identifier.journal | European Financial Management | en_GB |
dc.rights.uri | https://creativecommons.org/licenses/by/4.0/ | en_GB |
rioxxterms.version | VoR | en_GB |
rioxxterms.licenseref.startdate | 2023-06-01 | |
rioxxterms.type | Journal Article/Review | en_GB |
refterms.dateFCD | 2023-06-05T14:00:37Z | |
refterms.versionFCD | VoR | |
refterms.dateFOA | 2023-06-05T14:02:59Z | |
refterms.panel | C | en_GB |
refterms.dateFirstOnline | 2023-06-01 |
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Except where otherwise noted, this item's licence is described as © 2023 The Authors. European Financial Management published by John Wiley & Sons Ltd. This is an open access article under the terms of the Creative Commons Attribution License, which permits use, distribution and reproduction in any medium, provided the original work is properly cited.