The Structure of Cryptocurrency Returns Amin Shams

What Do We Know about Cryptocurrency Prices?

I What drives cryptocurrency prices?
I What determines the return structure of cryptocurrencies?
I What is the source of the underlying value?
I How do investors think about the value?

Conceptual Framework
Two broad frameworks for pricing assets:
1. Returns can be explained by characteristics such as size,
book-to-market, past returns, industry, etc. (e.g. Fama and
French (1993) and Daniel and Titman (1997)).
2. Returns can be explained by investor demand. (e.g. Barberis and
Shleifer (2003) and Barberis, Shleifer, and Wurgler (2005))
I Demand for holding cryptocurrencies can be perceived as a sign
of adoption, which can affects the value of cryptocurrencies due
to the network effect. (e.g. Cong, Li, and Wang (2020) and
Sockin and Xiong (2020))
This paper studies the structure and drivers of cryptocurrency
returns within the framework of examining crypto investors’
demand.

The Structure of Cryptocurrency Returns Amin Shams