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Cited by 948

The DOI matches its Crossref record; 6 of the 6 references it cites were found in a registry or an index.

Risks and Returns of Cryptocurrency

Open access
Liu, Yukun, Tsyvinski, Aleh·2021·The Review of Financial Studies
DOI 10.1093/rfs/hhaa113
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Abstract

We establish that cryptocurrency returns are driven and can be predicted by factors that are specific to cryptocurrency markets. Cryptocurrency returns are exposed to cryptocurrency network factors but not cryptocurrency production factors. We construct the network factors to capture the user adoption of cryptocurrencies and the production factors to proxy for the costs of cryptocurrency production. Moreover, there is a strong time-series momentum effect, and proxies for investor attention strongly forecast future cryptocurrency returns.

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Registry

Crossref · 10.1093/rfs/hhaa113

Cites

6 of 6 references verified0 citation errors · 0 not checkable

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Citations

Cites

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Metadata

Authors
Liu, Y., & Tsyvinski, A.
Venue
The Review of Financial Studies
Publisher
Oxford University Press (OUP)
Published
2020-09-26
Volume
34
Issue
6
Pages
2689-2727
ISSN
  • 0893-9454 (ISSN-L)
  • 1465-7368
DOI
10.1093/rfs/hhaa113
OpenAlex
W3124611303
Cited by
948
References
6
FWCI
97.76
Type
journal article
Language
en
Open access
bronze

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CoChat. (2026). Citation check: Risks and Returns of Cryptocurrency. https://app.cochat.ai/papers/10.1093/rfs/hhaa113
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Liu, Y., & Tsyvinski, A. (2021). Risks and Returns of Cryptocurrency. The Review of Financial Studies. https://doi.org/10.1093/rfs/hhaa113

Data sources

Bibliographic data: Semantic Scholar, OpenAlex, Crossref.

Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).

Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.