Co-skewness, co-kurtosis and their implications on asset pricing of cryptocurrencies

Abstract

This study examines several asset pricing specifications applied for a sample of 72 cryptocurrencies. We extend the existing literature on asset pricing of cryptocurrencies by including higher co-moment factors, namely co-skewness and co-kurtosis. Our overall conclusion is that co-skewness and co-kurtosis are also priced in crypto-markets, but less pronouncedly than in equity/commodity/derivatives markets. Size and momentum factors further increase explanatory power, but their regression coefficients are insignificant.