Common risk factors in cryptocurrencies: asset pricing analysis of cross sectional returns
Ronci, Luigi (A.A. 2021/2022) Common risk factors in cryptocurrencies: asset pricing analysis of cross sectional returns. Tesi di Laurea in Asset pricing, Luiss Guido Carli, relatore Nicola Borri, pp. 60. [Master's Degree Thesis]
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Abstract/Index
Data. Data cleaning. Additional data generation. Cryptocurrency market indices. Investment strategies. Size. Volume. Liquidity. Momentum. Volatility. Coin supply. Overview of predictors. Factors for cryptocurrencies. Cryptocurrency CAPM. Cryptocurrency two-factor model. Cryptocurrency three-factor model. Behavioural analysis. Sensitivity analysis. Methodology.
References
Bibliografia: pp. 57-59.
| Thesis Type: | Master's Degree Thesis |
|---|---|
| Institution: | Luiss Guido Carli |
| Degree Program: | Master's Degree Programs > Master's Degree Program in Economics and Finance (LM-56) |
| Chair: | Asset pricing |
| Thesis Supervisor: | Borri, Nicola |
| Thesis Co-Supervisor: | Traficante, Guido |
| Academic Year: | 2021/2022 |
| Session: | Summer |
| Deposited by: | Alessandro Perfetti |
| Date Deposited: | 04 Oct 2022 07:51 |
| Last Modified: | 04 Oct 2022 07:51 |
| URI: | https://tesi.luiss.it/id/eprint/33522 |
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