In search of cryptocurrency failure

In search of cryptocurrency failure

This paper explores the determinants of cryptocurrency failure and the pricing of crypto failure risk. We document different significant market- and characteristic-based predictors for coin and token failures. The introduction of Bitcoin futures and the outbreak of COVID19 affect the importance of m...

Full description

Saved in:
Bibliographic Details
Main Authors: MA, Donglian, Jun TU, ZHU, Zhaobo
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2023
Subjects:
Cryptocurrency
Failure risk
Risk-return tradeoff
Asset allocation
COVID19
Finance
Finance and Financial Management
Online Access:https://ink.library.smu.edu.sg/lkcsb_research/7442
https://ink.library.smu.edu.sg/context/lkcsb_research/article/8441/viewcontent/SSRN_id4164139.pdf
Tags: Add Tag
No Tags, Be the first to tag this record!
Institution: Singapore Management University
Language: English
Description
Summary:This paper explores the determinants of cryptocurrency failure and the pricing of crypto failure risk. We document different significant market- and characteristic-based predictors for coin and token failures. The introduction of Bitcoin futures and the outbreak of COVID19 affect the importance of many predictors. Investors require extra return for bearing high failure risk of crypto assets. The return difference across high and low failure risk crypto assets is not explained by the market, size and momentum factors in the cryptocurrency market. Finally, investors benefit from diversifying into high failure risk crypto assets that is little correlated with the stock market.

Similar Items