The 2017 bubble on the cryptocurrency market recalls our memory in the dot-com bubble, during which hard … impact of investor sentiment on cryptocurrency returns is conditional on bubble regimes …

This study extends the production--based asset pricing framework into cryptocurrency markets by examining … cryptocurrency miners' optimization. Under q--theory, cryptocurrency miners optimally adjust the supply of cryptocurrencies to … changes in electricity prices. The first–order condition of valuation function infers cryptocurrency returns from miners …

This paper investigates the role of the frequency of price overreactions in the cryptocurrency market in the case of … BitCoin over the period 2013-2018. Specifically, it uses a static approach to detect overreactions and then carries out … Bitcoin price movements (H1) and (ii) exhibits seasonality (H2). On the whole, the results suggest that it can provide useful …

theory of asset price bubbles. This is a rational asset pricing model that is shown to be consistent with the existing …

We investigate the performance of funds that specialise in cryptocurrency markets. In doing so, we contribute to a …

This paper identifies three common risk factors in the returns on cryptocurrencies, which are related to cryptocurrency … to capture the cross-sectional variation in average cryptocurrency returns. In the tests of the three-factor model, we …

We examine the relation between cryptocurrency returns and two blockchain characteristics, computing power and network … size. We show that cryptocurrency prices are cointegrated with computing power and network. Further, cryptocurrency returns … controlling for Bitcoin's return and sentiment-related factors. The two aggregate blockchain characteristics are procyclical asset …

We start by documenting large differences in bitcoin prices across exchanges located in different countries, or for …