Item Type | Forthcoming |
Abstract | This paper identifies active addresses-to-network value as an additional common risk factor in the returns on cryptoassets. Active addresses refer to the number of unique wallet addresses that conduct an on-chain transaction, whereas the network value of a cryptoasset corresponds to its market capitalization. Investigating 652 cryptoassets, I find that there are anomalous returns that increase with active addresses-to-network value ratio, a proxy for the value anomaly. Cryptoassets with a high active address to network value ratio yield on average 2.1 percentage points higher weekly returns compared to cryptoassets with low active addresses to network value ratio, and comparable size. A four-factor model directed at capturing the value pattern in average returns performs better than a three-factor model, including the market, size, and momentum factor. Importantly, the results suggest that cryptoasset prices are related to their fundamentals. |
Authors | Liebi, Luca |
Language | English |
Subjects | economics finance |
HSG Classification | contribution to scientific community |
Refereed | No |
Date | 23 November 2020 |
Depositing User | M.A. Luca Liebi |
Date Deposited | 23 Nov 2020 14:11 |
Last Modified | 19 Jan 2021 09:02 |
URI: | https://www.alexandria.unisg.ch/publications/261514 |
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CitationLiebi, Luca (2020) Is there a value premium in cryptoasset markets? Statisticshttps://www.alexandria.unisg.ch/id/eprint/261514
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