Optimizing Cryptocurrency Returns: A Quantitative Study on Factor-Based Investing
Phumudzo Lloyd Seabe,
Claude Rodrigue Bambe Moutsinga,
Edson Pindza
Abstract:This study explores cryptocurrency investment strategies by adapting the robust framework of factor investing, traditionally applied in equity markets, to the distinctive landscape of cryptocurrency assets. It conducts an in-depth examination of 31 prominent cryptocurrencies from December 2017 to December 2023, employing the Fama–MacBeth regression method and portfolio regressions to assess the predictive capabilities of market, size, value, and momentum factors, adjusted for the unique characteristics of the … Show more
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