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In our paper, we investigate the explanatory power to the crypto currency return premium of market factor and size factor. We tested both the value-weighted and the equally weighted market factor and a big minus small Fama-French size factor. We found the market and size together can explain 33% of the premium. We also used UMAP to find a non-linear transformation of the crypto returns to create two factors, who can explain over 80% of the premium in both training and testing periods. However, further analysis and research needs to be carried out to decipher what these two factors represent.
Saket Kumar, Mike Zeng, Ruinan Lu. 2020. "Factor Model in Cryptocurrency Market". Global Journal of Management and Business Research - C: Finance GJMBR-C Volume 20 (GJMBR Volume 20 Issue C3).
Crossref Journal DOI 10.17406/GJMBR
Print ISSN 0975-5853
e-ISSN 2249-4588
v1.2
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Total Score: 150
Country: India
Subject: Global Journal of Management and Business Research
Authors: Saket Kumar, Mike Zeng, Ruinan Lu (PhD/Dr. count: 0)
View Count (all-time): 311
Total Views (Real + Logic): 634
Total Downloads (simulated): 31
Publish Date: 2020 01, Wed
Monthly Totals (Real + Logic):
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