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Contribution Details
| Type | Bachelor's Thesis |
| Scope | Discipline-based scholarship |
| Title | The crypto model – Application of the Fama-French Three-Factor model and its extension by Carhart to cryptocurrencies |
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| Institution | University of Zurich |
| Faculty | Faculty of Business, Economics and Informatics |
| Number of Pages | 37 |
| Date | 2022 |
| Abstract Text | In this thesis, I introduce my crypto model, which is an application of the Fama-French Three-Factor model (FF3M) and its extension by Carhart for cryptocurrencies. We will find that the factors SMB (small minus big) and HML (high minus low) of the FF3M can be transferred to cryptocurrencies, whereby the SMB factor can be replaced by the market capitalization and the HML factor by the transaction-to-market ratio of a cryptocurrency. We will also discover that the PR1YR factor of Carhart’s model can be replaced by the momentum return on a cryptocurrency. I will conclude this thesis by providing evidence that small-size cryptocurrency portfolios do not have a significant higher return than big-size cryptocurrency portfolios and that high-value cryptocur- rency portfolios do not have a significant higher return than low-value cryptocurrency portfolios. This is not in line with the results of the Fama-French Three-Factor model. Another conclusion will be that high-momentum cryptocurrency portfolios do not have a significant higher return than low-momentum cryptocurrency portfolios, which is not in line with Carhart’s model. |
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