This study examines the predictability of cryptocurrency returns based on investors' risk premia. Prior studies that have examined the predictability of cryptocurrencies using various economic risk factors have reported mixed results. Our out-of-sample evidence identifies the existence of a significant return predictability of cryptocurrencies based on the cryptocurrency market risk premium. Consistent with capital asset pricing theory (CAPM), our results show that investors often require higher positive returns before taking on any additional risks, particularly in terms of riskier assets like cryptocurrencies. Tests involving the CAPM model demonstrates that the three largest cryptocurrencies have significant exposures to the proposed market factor with insignificant intercepts, demonstrating that the market factor explains average cryptocurrency returns very well.

本研究基于投资者的风险溢价检验了加密货币回报的可预测性。先前使用各种经济风险因素检查加密货币可预测性的研究报告了不同的结果。我们的样本外证据基于加密货币市场风险溢价确定了加密货币的显着回报可预测性。与资本资产定价理论 (CAPM) 一致，我们的结果表明，投资者在承担任何额外风险之前通常需要更高的正回报，特别是在加密货币等风险较高的资产方面。涉及 CAPM 模型的测试表明，三种最大的加密货币对提议的市场因素有很大的影响，且截距很小，