Is there a value premium in cryptoasset markets?

This paper identifies active addresses-to-network value as an additional common risk factor in the returns on cryptoassets. Investigating 652 cryptoassets, I find anomalous returns that increase with active addresses-to-network value ratio, a proxy for the value anomaly. Cryptoassets with a high active address to network value ratio yield on average 2.1 percentage points higher weekly returns than cryptoassets with low active addresses to network value ratio, and comparable size. A four-factor model directed at capturing the value pattern in average returns performs better than a three-factor model, including the market, size, and momentum factor