Liebi, Luca J. - 2022 - [Version] January 19, 2022
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 …