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Regular version of the site
Student
Title
Supervisor
Faculty
Educational Programme
Final Grade
Year of Graduation
Kristina Shpak
Efficient ICO Determinants
Strategic Corporate Finance
(Master’s programme)
2019
This paper analyzes of the determinants of an initial coin offering (ICO) efficiency. The study period covers 2016-2018 with up to 2134 cryptocurrencies in circulation, where 1499 cryptocurrencies were issued on an ICO in the study period and contained sufficient quantitative and qualitative data. ICO efficiency is defined as cumulative abnormal return, and we provide a detailed step-by-step CAR derivation methodology. We demonstrate that openness of the source code and technical documentation positively affect the 5-week CAR of a cryptocurrency, and ICO launch period is crucial. We also prove empirically that coins and tokens have significantly different determinants of the ICO efficiency due to fundamental factors. Fama and French three-factor model is applied as a basic framework, and we show that it is only partly applicable for the cryptocurrency market and should be used cautiously. The paper has theoretical and empirical novelty and relevance. It both explains reasons behind the ICO performance dependent on the given determinants and provides practical tips to ICO investors and issuers. The paper also introduces an alternative analysis approach, discusses model extensions and suggests vectors for further research.

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