Cryptocurrency Return Predictors - A Replicative Reassessment Rising Stablecoin Growth - Cryptocurrency Return Predictors in New Market Conditions

Sammanfattning: We successfully construct nine significant cryptocurrency return predictor strategies based on market capitalization, momentum and volatility characteristics. We replicate the methods used in the article "Common Risk Factors In Cryptocurrency" using a larger and more recent dataset encompassing changed cryptocurrency market conditions and asset composition (Liu, Tsyvinski, Wu, 2022). Following increasing stablecoin market shares we show unexplained volatility effects in the presented three-factor model, add a volatility factor and create a four-factor model that better prices volatility. Furthermore, we investigate the continued viability of the return predictors facing changed market conditions, and compare them to equity market characteristics.