Unravelling cross-sectional patterns in cryptocurrencies: a four-factor asset pricing model

Article

Ali, Asgar, Peng, Sanshao and Shams, Syed. 2025. "Unravelling cross-sectional patterns in cryptocurrencies: a four-factor asset pricing model." China Accounting and Finance Review. 27 (4), pp. 493-519. https://doi.org/10.1108/CAFR-06-2024-0077
Article Title

Unravelling cross-sectional patterns in cryptocurrencies: a four-factor asset pricing model

ERA Journal ID36148
Article CategoryArticle
AuthorsAli, Asgar, Peng, Sanshao and Shams, Syed
Journal TitleChina Accounting and Finance Review
Journal Citation27 (4), pp. 493-519
Number of Pages27
Year2025
PublisherEmerald
Place of PublicationUnited Kingdom
ISSN1029-807X
Digital Object Identifier (DOI)https://doi.org/10.1108/CAFR-06-2024-0077
Web Address (URL)https://www.emerald.com/cafr/article/27/4/493/1271913/Unravelling-cross-sectional-patterns-in
Abstract

Purpose
This paper examines the pricing effect of cross-sectional patterns in the cryptocurrency market, aiming to enhance the composition of asset pricing factors for a better explanation of cross-sectional variability in cryptocurrency returns.

Design/methodology/approach
The study utilizes data from 1,160 cryptocurrencies spanning over nine years, from January 2014 to December 2022, totalling 468 weeks. We obtain data for all cryptocurrencies using the application programming interface (API) provided by coinmarketcap.com and employ a well-established multifactor asset pricing methodology aimed at proposing an improved composition of cryptocurrency factors.

Findings
The findings of the study uncover a strong size effect, a distinctive reversal effect, and a significant premium for cryptocurrency illiquidity. Contrary to the prevailing views, the observed reversal effect challenges the established momentum effect, while the observed illiquidity premium appears not to be explained by the size effect or other cross-sectional patterns. In response to these insights, the study introduces a novel four-factor asset pricing model, comprising the crypto market factor (CRm-Rf), crypto size factor (CSMB), crypto reversal factor (CLMW) and crypto illiquidity factor (CIHML).

Originality/value
This paper contributes to the literature in three significant ways. Firstly, the comprehensive analysis of the cryptocurrency market from the perspective of empirical asset pricing enriches the available literature on cryptoasset pricing. Moving beyond the identified patterns of crypto market risk, crypto size effect and pervasive momentum effect in the market, our study advances the mostly used three-factor model with the reversal and illiquidity factors. The comparative evaluation of various combinations of three-factor, four-factor and five-factor models demonstrates the superior performance of the proposed four-factor model. Thirdly, the study identified a significant illiquidity premium in the cryptocurrency market.

KeywordsCryptocurrency; Illiquidity; Reversal; Size; Factor model; Asset pricing
Contains Sensitive ContentDoes not contain sensitive content
ANZSRC Field of Research 2020350208. Investment and risk management
Byline AffiliationsBirla Institute of Technology and Science, United Arab Emirates
School of Business
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