Cryptocurrencies Pricing Models

Subject. Recent events related to the emergence of cryptocurrencies and the incredible growth of their prices have created a field for studying the dynamics of this new sector of the financial market. Cryptocurrency pricing is a central topic in research in this area. Aim. Improve the existing cryptocurrencies pricing models by adding cryptocurrencies specific factors. Comparison with C-CAPM and 3-factor cryptocurrencies pricing model. Methodology. The sample covers the period from January 2018 to December 2021 and includes the weekly top 100 cryptocurrencies with the largest market capitalization. Using classical methodology described by Fama-French we estimate factors which influence cryptocurrencies pricing running sturdily Fama-Macbeth regressions for different specifications. Results. We considered that specific cryptocurrencies factors significantly imrove model. Also we considered a momentum effect on described timeperiod. The best specification with considered factors is determined in our study. Conclusion. Evidence has been obtained that the cryptocurrency market is affected by price anomalies found in the markets of traditional financial instruments. In addition to the risk factors formed by the market capitalization of cryptocurrencies (size) and their accumulated profitability (momentum), statistically significant specific factors are presented in study.