Cryptocurrencies: Stylized facts on a new investible instrument

Cryptocurrencies: Stylized facts on a new investible instrument

We present stylized facts on the asset pricing properties of cryptocurrencies: summary statistics on cryptocurrency return properties and measures of common variation for secondary market returns on 222 digital coins. In our sample, secondary market returns of all other currencies are strongly corre...

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Veröffentlicht in:Financial management 2019-12, Vol.48 (4), p.1049-1068
Hauptverfasser: Hu, Albert S., Parlour, Christine A., Rajan, Uday
Format: Artikel
Sprache:eng
Schlagworte:
Asset pricing
Coins
Cryptocurrencies
Digital currencies
Economic models
Individual retirement accounts
Online assets
ORIGINAL ARTICLE
Personal finance
Pricing
Secondary market
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Zusammenfassung:We present stylized facts on the asset pricing properties of cryptocurrencies: summary statistics on cryptocurrency return properties and measures of common variation for secondary market returns on 222 digital coins. In our sample, secondary market returns of all other currencies are strongly correlated with Bitcoin returns. We also provide some investment characteristics of a sample of 64 initial coin offerings.
ISSN:0046-3892
1755-053X
DOI:10.1111/fima.12300