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...
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sg-smu-ink.lkcsb_research-84412024-02-08T09:02:30Z In search of cryptocurrency failure MA, Donglian Jun TU, ZHU, Zhaobo 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. 2023-12-01T08:00:00Z text application/pdf https://ink.library.smu.edu.sg/lkcsb_research/7442 https://ink.library.smu.edu.sg/context/lkcsb_research/article/8441/viewcontent/SSRN_id4164139.pdf http://creativecommons.org/licenses/by-nc-nd/4.0/ Research Collection Lee Kong Chian School Of Business eng Institutional Knowledge at Singapore Management University Cryptocurrency Failure risk Risk-return tradeoff Asset allocation COVID19 Finance Finance and Financial Management |
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Cryptocurrency Failure risk Risk-return tradeoff Asset allocation COVID19 Finance Finance and Financial Management MA, Donglian Jun TU, ZHU, Zhaobo In search of cryptocurrency failure |
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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. |
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text |
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MA, Donglian Jun TU, ZHU, Zhaobo |
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MA, Donglian Jun TU, ZHU, Zhaobo |
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MA, Donglian |
title |
In search of cryptocurrency failure |
title_short |
In search of cryptocurrency failure |
title_full |
In search of cryptocurrency failure |
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In search of cryptocurrency failure |
title_full_unstemmed |
In search of cryptocurrency failure |
title_sort |
in search of cryptocurrency failure |
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Institutional Knowledge at Singapore Management University |
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2023 |
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https://ink.library.smu.edu.sg/lkcsb_research/7442 https://ink.library.smu.edu.sg/context/lkcsb_research/article/8441/viewcontent/SSRN_id4164139.pdf |
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