Title: A cross section of expected cryptocurrency returns based on continuous betas
Authors: Tony Klein - Queen's University Belfast (United Kingdom) [presenting]
Thomas Walther - University Sankt Gallen (Switzerland)
Christoph Wegener - Leuphana University Lueneburg (Germany)
Abstract: The aim is to analyze the application of recent advances in asset pricing to a cross section of over 1000 cryptocurrencies and a novel data set of 5-min intra-day prices. By utilizing high-frequency price data, we derive continuous and jump betas which are applied to further dissect the market risk premiums and its transmission channels. When comparing the two betas and the standard CAPM, we conjecture that most of the market premium can be explained by the discontinuous components given the nature of the cryptocurrency market. As explosive behavior is a fairly common occurrence in cryptocurrency markets, we particularly focus on drawing inference on the betas under explosiveness.