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Characteristic-sorted long-short portfolios and a cryptocurrency three-factor model.
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Returns, factors, and adoption · predictive
Liu, Tsyvinski, and Wu report that cryptocurrency market, size, and momentum factors capture cross-sectional expected returns in their study universe.
Liu, Tsyvinski, and Wu report that cryptocurrency market, size, and momentum factors capture cross-sectional expected returns in their study universe.
The peer-reviewed result is source-verified, but investability depends on universe construction, delistings, weighting, turnover, and costs.
The paper reports that ten characteristic strategies are accounted for by its cryptocurrency three-factor model.
Characteristic-sorted long-short portfolios and a cryptocurrency three-factor model.
Market return, market capitalization, momentum, and ten paper-defined characteristics.
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Yukun Liu, Aleh Tsyvinski, Xi Wu · The Journal of Finance · 2022
Version of record reviewed.
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Reviewed 2026-07-13; next review 2026-10-13. The paper record is not a recommendation, forecast, or proof of current profitability. Information, not financial advice.