Abstract:
We use the framework of restricted investors based on Liu and Balvers (2017) to motivate the presence of a popularity discount in the cryptocurrency market and construct a two-factor asset pricing model for cryptocurrencies. Our preliminary empirical results found a popularity discount of about 16% per year. We tested the model by adding an orthogonal popularity factor to the crypto market index and found that a two-factor asset pricing model passed the F-GRS test. Finally, we assessed whether these results differed between Bull and Bear market states by implementing a Bayesian Markov Switching Model by Abugri et al. (2024). Overall, the preliminary results suggest that popularity is a relevant factor, and theoretically motivated models can provide relevant insights for cryptoassets.
Fecha: Viernes 30 de agosto
Horario: 12:30 a 13:50 horas
Sala: H004
Presenta: Javier Mella, U Andes
Área: Finanzas
