Is there a value premium in cryptoasset markets?

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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Citation

Liebi, Luca (2020) Is there a value premium in cryptoasset markets?

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https://www.alexandria.unisg.ch/id/eprint/261514
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