In the Periphery of Financial Markets: Asset Pricing of Cryptocurrencies

Sammanfattning: In this thesis we analyze asset pricing of cryptocurrencies. We try to understand and explain what determines the change in return on individual cryptocurrencies by running time-series regressions on their daily returns. The independent variables included are based on the market, size, value and momentum effect. The data set includes the returns on 44 cryptocurrencies between 2017 and 2019 and the findings show that the market risk factor is not significant and has weak explanatory power, while the size, value and momentum factor on average are significant for the greater part of the included cryptocurrencies and have high explanatory power. For one of the size divisions, the modified Fama-French model explains on average 34.8% of the change in return for 37 of 44 cryptocurrencies with a significance level of 5% and 43.7% for 32 of 44 cryptocurrencies on a similar significance level for the modified Carhart model.