Cryptocurrencies and asset pricing |
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| Authors: | Andros Gregoriou |
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| Institution: | Brighton Business School, Brighton University, Brighton, Moulsecoomb, UK |
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| Abstract: | We demonstrate that investors obtain abnormal returns by trading cryptocurrencies daily on the London Stock Exchange from 2014–2017. Excess returns persist once we account for systematic risk, size, value, momentum, profitability and investment. Investor abnormal returns in cryptocurrencies implies inefficiency. |
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| Keywords: | Cryptocurrencies Capital Asset Pricing Model London Stock Exchange efficiency |
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