Cryptocurrency returns are highly nonnormal, casting doubt on the standard performance metrics. We apply almost stochastic dominance, which does not require any assumption about the return distribution or degree of… Click to show full abstract
Cryptocurrency returns are highly nonnormal, casting doubt on the standard performance metrics. We apply almost stochastic dominance, which does not require any assumption about the return distribution or degree of risk aversion. From 29 long – short cryptocurrency factor portfolios, we find eight that dominate our four benchmarks. Their returns cannot be fully explained by the three ‐ factor coin model of Liu et al. So we develop a new three ‐ factor model where momentum is replaced by a mispricing factor based on size and risk ‐ adjusted momentum, which significantly improves pricing performance
Journal Title: European Financial Management
Year Published: 2023
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