Cryptocurrencies: Stylized facts on a new investible instrument
Albert S. Hu, Christine A. Parlour, Uday Rajan · Financial Management · 2019
Abstract 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.