Asset Pricing Analysis of 18 Cryptocurrencies
Authors
Sasmita Claudia Pontoh, Eko Rizkianto
Corresponding Author
Sasmita Claudia Pontoh
Available Online 9 June 2020.
- DOI
- 10.2991/aebmr.k.200606.048How to use a DOI?
- Keywords
- Cryptocurrency, Asset Pricing, 3 Factors Model
- Abstract
This paper identifies three factor pricing model for cryptocurrency, which are related to cryptocurrency’s market return, size (market capitalization), and network-value-to transaction ratio (NVT ratio). Using 18 cryptocurrencies over the period from 01 January 2016 to 25 September 2019, we find that small cryptocurrencies have higher returns than big cryptocurrencies and results show that most cryptocurrencies have significant exposures to proposed three factors pricing model, which means the proposed three factors pricing model can explain average cryptocurrency excess return well.
- Copyright
- © 2020, the Authors. Published by Atlantis Press.
- Open Access
- This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).
Cite this article
TY - CONF AU - Sasmita Claudia Pontoh AU - Eko Rizkianto PY - 2020 DA - 2020/06/09 TI - Asset Pricing Analysis of 18 Cryptocurrencies BT - Proceedings of the 23rd Asian Forum of Business Education(AFBE 2019) PB - Atlantis Press SP - 279 EP - 282 SN - 2352-5428 UR - https://doi.org/10.2991/aebmr.k.200606.048 DO - 10.2991/aebmr.k.200606.048 ID - Pontoh2020 ER -