Skip to main content

Cryptocurrency Factors

Part of the AFL Virtual Research Seminar Series

  • 14 Oct 2020, 2.00pm to 14 Oct 2020, 3.15pm BST (GMT +01:00)
  • This is an online event.
  • This event is free

Dr Emmanouil Platanakis and Professor David Newton will discuss their paper:

Abstract:We employ a non-parametric technique, almost stochastic dominance, to determine that nine cryptocurrency factors dominate the S&P500, T-Bond, T-Bill and cryptocurrency index for longer term investment horizons. We decompose the long-short portfolios and find that the dominance of those nine factors is mainly attributable to their long legs. By using novel tests from the empirical asset pricing literature, we establish that the dominance of four factors is due to mispricing, while risk premium is the main cause of dominance for the other five cryptocurrency factors.

Access the webinar

Join the webinar here

Contact us

If you have any questions please in touch