Common Risk Factors in Cryptocurrency

Student: Pershkhailo Andrei

Supervisor: Oleg Shibanov

Educational Programme: Joint HSE-NES Undergraduate Program in Economics (Bachelor)

Final Grade: 9

Year of Graduation: 2020

We show that risk factors identified by previous researches cannot fully explain the returns of cryptocurrencies. Then we focus on technical parameters of cryptocurrencies and identify 9 candidates for a new risk factor. We construct a series of tests to identify the new factor, and finally, show that ACC – factor based on the daily number of active users – is the strongest risk factor that complements the previous risk factors and explains the cross-section of returns to a larger extent.

Full text (added May 31, 2020)

Student Theses at HSE must be completed in accordance with the University Rules and regulations specified by each educational programme.

Summaries of all theses must be published and made freely available on the HSE website.

The full text of a thesis can be published in open access on the HSE website only if the authoring student (copyright holder) agrees, or, if the thesis was written by a team of students, if all the co-authors (copyright holders) agree. After a thesis is published on the HSE website, it obtains the status of an online publication.

Student theses are objects of copyright and their use is subject to limitations in accordance with the Russian Federation’s law on intellectual property.

In the event that a thesis is quoted or otherwise used, reference to the author’s name and the source of quotation is required.

Search all student theses