Publicação
Factor investing in crypto assets: returns and tradability
| Resumo: | This thesis examines factor investing in cryptocurrency markets by constructing and evaluating fifteen factors using weekly excess returns. A comprehensive empirical analysis assesses their significance, persistence, and tradability, including performance metrics such as Sharpe ratios. Multi-factor models incorporating market, size, and momentum show improved explanatory power. Principal Component Analysis further reveals the structure and redundancy among factors. Special attention is paid to practical and tradability considerations, ensuring all portfolios are constructed using the best design and from eligible assets based on market capitalization. |
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| Autores principais: | Cuppini, Omar |
| Assunto: | Asset pricing Cryptocurrencies Factor investing Factor models |
| Ano: | 2025 |
| País: | Portugal |
| Tipo de documento: | dissertação de mestrado |
| Tipo de acesso: | acesso embargado |
| Instituição associada: | Universidade Nova de Lisboa |
| Idioma: | inglês |
| Origem: | Repositório Institucional da UNL |
| Resumo: | This thesis examines factor investing in cryptocurrency markets by constructing and evaluating fifteen factors using weekly excess returns. A comprehensive empirical analysis assesses their significance, persistence, and tradability, including performance metrics such as Sharpe ratios. Multi-factor models incorporating market, size, and momentum show improved explanatory power. Principal Component Analysis further reveals the structure and redundancy among factors. Special attention is paid to practical and tradability considerations, ensuring all portfolios are constructed using the best design and from eligible assets based on market capitalization. |
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