Publication Type
Working Paper
Version
publishedVersion
Publication Date
12-2023
Abstract
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.
Keywords
Cryptocurrency, Failure risk, Risk-return tradeoff, Asset allocation, COVID19
Discipline
Finance | Finance and Financial Management
Research Areas
Finance
First Page
1
Last Page
82
Publisher
SSRN
Citation
MA, Donglian; Jun TU; and ZHU, Zhaobo.
In search of cryptocurrency failure. (2023). 1-82.
Available at: https://ink.library.smu.edu.sg/lkcsb_research/7442
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.