This paper documents a persistent structure in cryptocurrency returns and analyzes a broad set of characteristics that explain this structure. The results show that similarities in size, trading volume, age, consensus mechanism, and token industries drive the structure of cryptocurrency returns....

The literature argues that industry network effects imply the predictability of industry returns, while the return predictability can estimate the industry network in reverse. The paper employs rolling window adaptive lasso regressions to test the robustness of return predictions, showing the...