Crypto Value, Factor Pricing, and Market Segmentation

References

• Amihud Y (2002) Illiquidity and stock returns: Cross-section and time-series effects. J. Financial Markets 5(1):31–56.Crossref, Google Scholar
• Ammann M, Burdorf T, Liebi L, Stöckl S (2022) Survivorship and delisting bias in cryptocurrency markets. Working paper, St. Gallen University, St. Gallen, Switzerland.Google Scholar
• Armstrong M (2006) Competition in two‐sided markets. RAND J. Econom. 37(3):668–691.Crossref, Google Scholar
• Asness CS, Moskowitz TJ, Pedersen LH (2013) Value and momentum everywhere. J. Finance 68(3):929–985.Crossref, Google Scholar
• Barillas F, Shanken J (2017) Which alpha? Rev. Financial Stud. 30(4):1316–1338.Crossref, Google Scholar
• Barillas F, Kan R, Robotti C, Shanken J (2020) Model comparison with Sharpe ratios. J. Financial Quant. Anal. 55(6):1840–1874.Crossref, Google Scholar
• Bhambhwani SM, Delikouras S, Korniotis GM (2023) Blockchain characteristics and cryptocurrency returns. J. Internat. Financial Markets Inst. Money 86:101788.Crossref, Google Scholar
• Biais B, Bisiere C, Bouvard M, Casamatta C, Menkveld AJ (2023) Equilibrium bitcoin pricing. J. Finance 78(2):967–1014.Crossref, Google Scholar
• Borri N, Shakhnov K (2022) The cross-section of cryptocurrency returns. Rev. Asset Pricing Stud. 12(3):667–705.Crossref, Google Scholar
• Borri N, Massacci D, Rubin M, Ruzzi D (2022) Crypto risk premia. Working paper, Luiss University, Rome.Google Scholar
• Cong LW, Xiao Y (2021) Categories and functions of crypto-tokens. Pompella M, Matousek R, eds. The Palgrave Handbook of FinTech and Blockchain (Palgrave Macmillan, Cham, Switzerland), 267–284.Crossref, Google Scholar
• Cong LW, Easley D, Prasad ES (2024) Demystifying electronic payment systems and digital currencies. Oxford Research Encyclopedia of Economics and Finance (Oxford University Press, Oxford, UK).Google Scholar
• Cong LW, George ND, Wang G (2023) RIM-based value premium and factor pricing using value-price divergence. J. Banking Finance 149:106812.Crossref, Google Scholar
• Cong LW, Li Y, Wang N (2021) Tokenomics: Dynamic adoption and valuation. Rev. Financial Stud. 34(3):1105–1155.Crossref, Google Scholar
• Cong LW, Li Y, Wang N (2022) Token-based platform finance. J. Financial Econom. 144(3):972–991.Crossref, Google Scholar
• Fama EF, French KR (1992) The cross‐section of expected stock returns. J. Finance 47(2):427–465.Crossref, Google Scholar
• Fama EF, French KR (1993) Common risk factors in the returns on stocks and bonds. J. Financial Econom. 33(1):3–56.Crossref, Google Scholar
• Fama EF, French KR (1996) Multifactor explanations of asset pricing anomalies. J. Finance 51(1):55–84.Crossref, Google Scholar
• Fama EF, French KR (2012) Size, value, and momentum in international stock returns. J. Financial Econom. 105(3):457–472.Crossref, Google Scholar
• Fama EF, French KR (2015) A five-factor asset pricing model. J. Financial Econom. 116(1):1–22.Crossref, Google Scholar
• Fama EF, French KR (2018) Choosing factors. J. Financial Econom. 128(2):234–252.Crossref, Google Scholar
• Feng G, He J, Polson NG, Xu J (2024) Deep learning in characteristics-sorted factor models. J. Financial Quant. Anal. 59(7):3001–3036.Crossref, Google Scholar
• Gibbons MR, Ross SA, Shanken J (1989) A test of the efficiency of a given portfolio. Econometrica 57(5):1121–1152.Crossref, Google Scholar
• Gonçalves AS, Leonard G (2023) The fundamental-to-market ratio and the value premium decline. J. Financial Econom. 147(2):382–405.Crossref, Google Scholar
• Griffin JM (2002) Are the Fama and French factors global or country specific? Rev. Financial Stud. 15(3):783–803.Crossref, Google Scholar
• Hou K, Karolyi GA, Kho BC (2011) What factors drive global stock returns? Rev. Financial Stud. 24(8):2527–2574.Crossref, Google Scholar
• Hu AS, Parlour CA, Rajan U (2019) Cryptocurrencies: Stylized facts on a new investible instrument. Financial Management 48(4):1049–1068.Crossref, Google Scholar
• Liebi LJ (2022) Is there a value premium in crypto asset markets? Econom. Model. 109:105777.Crossref, Google Scholar
• Liu Y, Tsyvinski A (2021) Risks and returns of cryptocurrency. Rev. Financial Stud. 34(6):2689–2727.Crossref, Google Scholar
• Liu Y, Tsyvinski A, Wu X (2022) Common risk factors in cryptocurrency. J. Finance 77(2):1133–1177.Crossref, Google Scholar
• Liu Y, Tsyvinski A, Wu X (2023) Accounting for cryptocurrency value. Working paper, University of Rochester, Rochester, NY.Google Scholar
• Maio PF (2023) Comparing asset pricing models: The (neglected) impact of “tradability”. Working paper, Hanken School of Economics, Helsinki, Finland.Google Scholar
• Makarov I, Schoar A (2020) Trading and arbitrage in cryptocurrency markets. J. Financial Econom. 135(2):293–319.Crossref, Google Scholar
• Pástor Ľ, Stambaugh RF (2003) Liquidity risk and expected stock returns. J. Political Econom. 111(3):642–685.Crossref, Google Scholar
• Prat J, Danos V, Marcassa S (2025) Fundamental pricing of utility tokens. Management Sci. 72(5):3650–3665.Google Scholar
• Reuters (2025) Bitcoin hits fresh record as Fed easing bets add to tailwinds. Reuters (August 14), https://www.reuters.com/business/bitcoin-hits-fresh-record-fed-easing-bets-add-tailwinds-2025-08-14/.Google Scholar
• Rochet JC, Tirole J (2006) Two‐sided markets: A progress report. RAND J. Econom. 37(3):645–667.Crossref, Google Scholar
• Rogoff K, You Y (2023) Redeemable platform currencies. Rev. Econom. Stud. 90(2):975–1008.Crossref, Google Scholar
• Ross S (1976) The arbitrage theory of capital asset pricing. J. Econom. Theory 13(3):341–360.Crossref, Google Scholar
• Schwenkler G, Zheng H (2025) News-driven peer co-movement in crypto markets. J. Corporate Finance 93:102772.Crossref, Google Scholar
• Shakhnov K, Zaccaria L (2023) Utility tokens, network effects, and pricing power. Management Sci. 69(11):6625–6640.Link, Google Scholar
• Shams A (2022) Cryptocurrency exchanges and comovements of cryptocurrency returns. Working Paper No. 2020-03, Fisher College of Business, Columbus, OH, 11.Google Scholar
• Sockin M, Xiong W (2023) A model of cryptocurrencies. Management Sci. 69(11):6684–6707.Link, Google Scholar
• Zhang W, Li Y (2023) Liquidity risk and expected cryptocurrency returns. Internat. J. Finance Econom. 28(1):472–492.Crossref, Google Scholar
• Zhang W, Li Y, Xiong X, Wang P (2021) Downside risk and the cross-section of cryptocurrency returns. J. Banking Finance 133:106246.Crossref, Google Scholar