Common risk factors in the cross-section of cryptocurrency returns An empirical study on different types of cryptocurrency anomalies: size, momentum, volatility and trend

Abstract: This paper identifies three common risk factors in the returns on cryptocurrencies. The three common risk factors are the market factor, size factor, and momentum factor. Investigating a collection of 461 cryptocurrencies, we find that the size factor impacts the size-related anomalous returns, and the momentum factor affects the volatility-related anomalous returns. Moreover, the proposed three-factor model has satisfied explanatory power on the cross-section of cryptocurrency returns.