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

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