Liu, Yukun. <br/><br/>
Common Risk Factors in Cryptocurrency / 
Yukun Liu, Aleh Tsyvinski, Xi Wu. 
 - Cambridge, Mass.  National Bureau of Economic Research  2019. 
 - 1 online resource:  illustrations (black and white); 
 - NBER working paper series  no. w25882 .
 - Working Paper Series (National Bureau of Economic Research)  no. w25882. .
<br/><br/> May 2019. 
<br/><br/> We find that three factors - cryptocurrency market, size, and momentum - capture the cross-sectional expected cryptocurrency returns. We consider a comprehensive list of price- and market-related factors in the stock market, and construct their cryptocurrency counterparts. Nine cryptocurrency factors form successful long-short strategies that generate sizable and statistically significant excess returns. We show that all of these strategies are accounted for by the cryptocurrency three-factor model. 
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