Common risk factors in the returns on cryptocurrencies

Amihud, 1986, Asset pricing and the bid-ask spread, J. Financ. Econ., 17, 223, 10.1016/0304-405X(86)90065-6

Bhambhwani, 2019, Do fundamentals drive cryptocurrency prices?, SSRN Working, 10.2139/ssrn.3342842

Brauneis, 2018, Price discovery of cryptocurrencies: Bitcoin and beyond, Econ. Lett., 165, 58, 10.1016/j.econlet.2018.02.001

Campbell, 1988, Stock prices, earnings, and expected dividends, J. Financ., 43, 661, 10.1111/j.1540-6261.1988.tb04598.x

Carhart, 1997, On persistence in mutual fund performance, J. Financ., 52, 57, 10.1111/j.1540-6261.1997.tb03808.x

Chan, 2017, A statistical analysis of cryptocurrencies, Risk and Financial Management, 10, 1

Corbet, 2018, Exploring the dynamic relationships between cryptocurrencies and other financial assets, Econ. Lett., 165, 28, 10.1016/j.econlet.2018.01.004

Fama, 1973, Risk, return and equilibrium: empirical tests, J. Political Econ., 81, 607, 10.1086/260061

Fama, 1993, Common risk factors in the returns on stocks and bonds, J. Financ. Econ., 33, 3, 10.1016/0304-405X(93)90023-5

Fama, 2012, Size, value, and momentum in international stock returns, J. Financ. Econ., 105, 457, 10.1016/j.jfineco.2012.05.011

Fama, 2015, A five-factor asset pricing model, J. Financ. Econ., 116, 1, 10.1016/j.jfineco.2014.10.010

Fama, 2018, Choosing factors, J. Financ. Econ., 128, 234, 10.1016/j.jfineco.2018.02.012

Gregoriou, 2019, Cryptocurrencies and asset pricing, Appl. Econ. Lett., 26, 995, 10.1080/13504851.2018.1527439

Gkillas, 2018, An application of extreme value theory to cryptocurrencies, Econ. Lett., 164, 109, 10.1016/j.econlet.2018.01.020

Grobys, 2019

Harvey, 2016, ...and the cross-section of expected returns, Rev. Financ. Stud., 29, 5, 10.1093/rfs/hhv059

Jegadeesh, 1993, Returns to buying winners and selling losers: implications for stock market efficiency, J. Financ., 48, 35, 10.1111/j.1540-6261.1993.tb04702.x

Liu, 2006, A liquidity-augmented capital asset pricing model, J. Financ. Econ., 82, 631, 10.1016/j.jfineco.2005.10.001

Liu, 2019, Portfolio diversification across cryptocurrencies, Financ. Res. Lett., 29, 200, 10.1016/j.frl.2018.07.010

Liu, 2018

Liu, 2019

Miller, 1961, Dividend policy, growth, and the valuation of shares, J. Bus., 34, 411

Phillip, 2018, On long memory effects in the volatility measure of cryptocurrencies, Financ. Res. Lett., 28, 95, 10.1016/j.frl.2018.04.003

Sharpe, 1964, Capital asset prices: a theory of market equilibrium under conditions of risk, J. Financ., 19, 425

Sovbetov, 2018, Factors influencing cryptocurrency prices: evidence from Bitcoin, Ethereum, dash, litcoin, and monero, Journal of Economics and Financial Analysis, 2, 1