Cryptocurrencies: Stylized facts on a new investible instrument

被引：79
|
作者：
Hu, Albert S. [1 ]
Parlour, Christine A. [1 ]
Rajan, Uday [2 ]
机构：
[1] Univ Calif Berkeley, Haas Sch Business, Berkeley, CA 94720 USA
[2] Univ Michigan, Stephen M Ross Sch Business, Ann Arbor, MI 48109 USA
来源：
FINANCIAL MANAGEMENT | 2019年 / 48卷 / 04期
关键词：
D O I：
10.1111/fima.12300
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
We present stylized facts on the asset pricing properties of cryptocurrencies: summary statistics on cryptocurrency return properties and measures of common variation for secondary market returns on 222 digital coins. In our sample, secondary market returns of all other currencies are strongly correlated with Bitcoin returns. We also provide some investment characteristics of a sample of 64 initial coin offerings.
引用
收藏
页码：1049 / 1068
页数：20
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