On the (almost) stochastic dominance of cryptocurrency factor portfolios and implications for cryptocurrency asset pricing
(2023)
Journal Article
Han, W., Newton, D., Platanakis, E., Sutcliffe, C., & Ye, X. (2024). On the (almost) stochastic dominance of cryptocurrency factor portfolios and implications for cryptocurrency asset pricing. European Financial Management, 30(3), 1125-1164. https://doi.org/10.1111/eufm.12431
Cryptocurrency returns are highly nonnormal, casting doubt on the standard performance metrics. We apply almost stochastic dominance, which does not require any assumption about the return distribution or degree of risk aversion. From 29 long–short c... Read More about On the (almost) stochastic dominance of cryptocurrency factor portfolios and implications for cryptocurrency asset pricing.