We found a match
Your institution may have access to this item. Find your institution then sign in to continue.
- Title
On the (almost) stochastic dominance of cryptocurrency factor portfolios and implications for cryptocurrency asset pricing.
- Authors
Han, Weihao; Newton, David; Platanakis, Emmanouil; Sutcliffe, Charles; Ye, Xiaoxia
- 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.
- Subjects
STOCHASTIC dominance; PRICES; CRYPTOCURRENCIES; PERFORMANCE standards; RISK aversion; COINS
- Publication
European Financial Management, 2024, Vol 30, Issue 3, p1125
- ISSN
1354-7798
- Publication type
Article
- DOI
10.1111/eufm.12431