Is there a value premium in cryptoasset markets?

Luca J. Liebi

Dezember 14, 2020

Online Appendix - “Is there a value premium in cryptoasset markets”

In this appendix, I provide detailed information on the data used in my analysis, robustness checks, and extensions to the results reported in the paper. In my paper, I answer the following two research questions:

1.) Is there a value premium in the in cryptoasset markets?

2.) If so, does a value factor have explanatory power for average returns in the cross-section?


Data

This table reports the first 100 observations containing weekly observations.

Moreover, I provide a list with all cryptoassets included in my analysis.

Demo table
1 2 3 4
0Chain CryptoCarbon Iungo Rarible
0x Cryptonex Jarvis Network Rate3
0xBitcoin Cryptopay Jetcoin REAL
0xcert Cube Jibrel Network RealChain
1irstcoin Curve DAO Token JSECOIN Refereum
1World CyberMiles Karatgold Coin Relex
Aave CyberVein Kcash Remme
Abyss CYCLEAN Keep Network Ren
Acute Angle Cloud DAEX KickToken Rentberry
adbank DAOBet Kin Request
Adelphoi DAOstack Kind Ads Token Restart Energy MWAT
AdEx Network Darico Ecosystem Coin Kryll RightMesh
AdHive Dash KuCoin Shares Ripio Credit Network
adToken DATA Kyber Network Rivetz
aelf Datarius Credit LALA World RoBET
Aergo DATx Lambda Robotina
Aeron DAV Coin LATOKEN Ruff
Agrello Debitum Leadcoin Sakura Bloom
AI Doctor DecentBet Lendingblock SALT
AICHAIN Decentraland LGO Token Santiment Network Token
AidCoin Delphy LIFE savedroid
Aigang Dent LikeCoin Scanetchain
AirSwap Dentacoin LINA Scry.info
ALAX Dether Liquidity Network Seele-N
ALIS Devery Litecoin Selfkey
All Sports DFI.Money Lition Sense
Ambrosus DigiByte Livepeer Sentient Coin
AMLT Digitex Futures LOCIcoin Sentinel
AMO Coin district0x LockTrip Sentinel Chain
Amon DMarket Loom Network Sentinel Protocol
Ampleforth DMM: Governance Loopring Sentivate
Ankr DOC.COM LTO Network Sharder
APIS Dock LuckySevenToken ShareToken
AppCoins Dogecoin Lunyr ShipChain
Aragon DomRaider Lympo Signals Network
ArbitrageCT Dovu Maecenas Silent Notary
Arcblock DOWCOIN MaidSafeCoin SingularDTV
ARPA Chain DraftCoin Maincoin SingularityNET
Aston Dragon Coins Maker SIRIN LABS Token
ATLANT Dragonchain Matchpool SkinCoin
ATMChain DREP Matic Network Skrumble Network
Atomic Wallet Coin Dropil Matrix AI Network Snovian.Space
Atonomi Dusk Network Matryx Social Lending Token
Auctus Dynamic Trading Rights Maximine Coin Sociall
Augur Earth Token MCO SOLVE
Aurora EBCoin Measurable Data Token SONM
Authorship EchoLink Medicalchain SophiaTX
Autonio Ecoreal Estate MediShares SpankChain
Aventus Eden Melon Spectre.ai Dividend Token
AXPR Edgeless Meme Spectre.ai Utility Token
B2BX EDUCare Memetic / PepeCoin SRCOIN
BaaSid Egretia Meta Standard Tokenization Protocol
BABB Eidoo Metadium StarterCoin
Balancer Electrify.Asia Metal STASIS EURO
Banca Electroneum MetaMorph Status
Band Protocol ELTCOIN Metronome STK
Bankera Elysian MicroMoney Storiqa
BANKEX Emphy MINDOL Storj
Basic Attention Token EncrypGen MineBee StormX
Bee Token Energi Minereum Streamr
Bela EnergiToken Mithril Substratum
BetterBetting Energo MOAC SunContract
Bezant Enigma MobileGo Suretly
Bezop Enjin Coin Moeda Loyalty Points SushiSwap
Bibox Token EnterCoin Molecular Future Swarm
Bigbom EOS Monetha Swarm City
Billionaire Token eosDAC Moneytoken Swerve
Binance Coin Equal Monolith SwftCoin
Biotron Eroscoin Morpheus Labs Swipe
Bit-Z Token Essentia Morpheus.Network SwissBorg
BitClave Ethereum MovieBloc SyncFab
Bitcoin Ethereum Cash MVL Synthetix Network Token
Bitcoin Cash Ethereum Classic MyBit Tael
Bitcoin Gold Ethereum Meta Mysterium Tap
Bitcoin SV Etherparty MyWish TE-FOOD
BitDegree EtherSportz NAGA Telcoin
Bitex Global XBX Coin Ethouse NANJCOIN TenX
BitForex Token EvenCoin NaPoleonX Tezos
bitJob EventChain Nebula AI The Force Protocol
BitKan Everex Nebulas The Midas Touch Gold
BitMart Token Everus Nectar The Sandbox
BitMax Token Exchange Union NEST Protocol Theta Fuel
Bitnation Eximchain Neumark ThoreCoin
BitRent Experty NeuroChain Thrive Token
BitStation EXRNchain Neurotoken Tierion
Bittwatt FABRK Nexium Ties.DB
Blackmoon Faceter Nexo Time New Bank
BlitzPredict FairGame NEXT Tokenbox
Blockchain Certified Data Token Fantom NEXT.coin TokenClub
Blockmason Credit Protocol FarmaTrust Niobium Coin TokenDesk
BlockMesh Fetch.ai Nitro Tokenomy
Blockpass FintruX Network NKN TomoChain
Blockstack Fire Lotto No BS Crypto TraDove B2BCoin
Blocktix FirstBlood Noku Tripio
BLOCKv Flexacoin Nucleus Vision TRON
Bloom Flixxo NULS TrueChain
Blox FlypMe Numeraire TrueDeck
Bluzelle FOAM NXM TrueFlip
BnkToTheFuture Fortuna OAX Truegame
Bob’s Repair FREE Coin Ocean Protocol TrueVett
BOLT Freyrchain ODEM U Network
Bottos Friendz Odyssey Ubcoin Market
botXcoin FundRequest OKB Ubex
Bounce Token FunFair Olive UGAS
Bounty0x Fusion OMG Network Ultiledger
BoutsPro FUTURAX Omnitude UMA
Bread FuzeX On.Live Unibright
Brickblock GAMB OneLedger Unikoin Gold
BTU Protocol Game.com OneRoot Network Uniswap
Budbo Gems Ontology United Traders Token
Buggyra Coin Zero Genesis Vision Open Platform Universa
Bytom Gifto Opus UNUS SED LEO
bZx Protocol Global Social Chain Orbs Upfiring
Cappasity Gnosis Origami UpToken
Cardano GoCrypto Token Origin Protocol Uquid Coin
Cardstack GoldMint OriginTrail Utrust
CargoX Golem Orion Protocol VeChain
Carry GoNetwork Ormeus Coin Verasity
Cartesi Grid+ OSA Token Verge
carVertical Guaranteed Ethurance Token Extra OST Veritaseum
Cashbery Coin Hakka.Finance PAL Network VestChain
Caspian Harmony PARETO Rewards Vetri
CDX Network Harvest Finance Parkgene VIBE
CEEK VR HashCoin Patientory Viberate
Celer Network Hashgard PAX Gold VIDT Datalink
Celsius HBZ coin PAYCENT VIDY
Centrality HeartBout Payfair VINchain
Change Hegic Paymon VITE
ChatCoin HelloGold PayPie Voise
Chiliz HEROcoin Peculium Voyager Token
Chromia HeroNode Perlin vSlice
Cindicator Hi Mutual Society PHI Token WABnetwork
Civic High Performance Blockchain Pillar Waltonchain
ClearPoll HitChain PlayChip Wanchain
Cobinhood Hiveterminal Token PlayGame WandX
Coin Lion HOQU Playkey WAX
CoinEx Token Hubii Network Pluton Webcoin
Coinlancer Humaniq pNetwork WeOwn
CoinMeet Huobi Pool Token Po.et WePower
CoinPoker Hurify Polybius WeTrust
Compound Hydro Polymath Winding Tree
ConnectJob Hydro Protocol PolySwarm Wings
Constellation Hyprr (Howdoo) POPCHAIN X8X Token
Content Neutrality Network Iconomi Populous Xaurum
ContentBox IDEX Power Ledger xDai
Contentos IDEX Membership PowerPool XMax
Cortex iEthereum PRASM XYO
Cosmo Coin iExec RLC Presearch YAM v1
CoTrader IHT Real Estate Protocol Primas yearn.finance
Couchain imbrex Privatix YEE
COVA indaHash ProChain YF Link
Covesting Ink Protocol Propy YFValue
CPChain Inmax Proxeus YOYOW
Cream Finance INO COIN PumaPay Zap
Cred Insureum Pundi X Zcash
Creditbit Intelligent Trading Foundation Pylon Network Zcoin
Credits Internxt QASH Zeusshield
Credo InvestFeed Quant Zilla
Crowd Machine Invictus Hyperion Fund Quantstamp ZINC
CryCash IoT Chain QuarkChain Zipper
Cryptaur IoTeX Qubitica Zippie
Crypterium IP Exchange QunQun ZMINE
CRYPTO20 IQeon Raiden Network Token ZPER

Robustness I: Bivariate Portfolio Sort - weekly

I provide Table IV of my paper, when cryptoassets are weekly, unconditionally sorted.

Averages of weekly percent excess returns for value-weighted (Panel A) and equal-weighted (Panel B) portfolios formed on size and average active addresses to network value (aanv), market beta (beta) and aanv30, momentum and aanv, and idiosyncratic volatility (ivol) and aanv ; 04-July-2017 to 06-October-2020, 170 weeks. At the end of each Tuesday (=t), crypotassets are allocated into groups based on the first variable and independently allocated to three aanv30 groups. The intersections of the two sorts produce nine portfolios. In the sort time t, market beta is estimated from t-28 days until t, size is the market cap at time t, momentum is the cumulative return from t-90 days to t, idiosyncratic volatility is the standard deviation of the residuals after estimating the CAPM from t-28 days until t. Then, value-weighted and equal-weighted portfolio returns are calculated from Tuesday (t) to Tuesday in the consecutive week (t+1). The HML column (row) is a long-short portfolio, which is long in the third column (row) and short in the first column (row). T-statistics are reported in parenthesis below the coefficients. , , indicate statistical significance levels at the 10%, 5%, 1% levels, respectively.
Panel A: Value-weighted Panel B: Equal-weighted
Panel A.1: size-aanv Small Neutral Big HML NA Panel B.1: size-aanv Small Neutral Big HML
Growth 1.63 0.15 -1 -2.63\(^{***}\) NA Growth 2.77\(^{**}\) 0.18 -0.35 -3.11\(^{***}\)
(1.37) (0.15) (-1.08) (-2.92) NA (2.43) (0.18) (-0.36) (-4.25)
Neutral 1.45 0.71 1.14 -0.3 NA Neutral 1.55 0.41 0.62 -0.93
(1.17) (0.61) (1.04) (-0.31) NA (1.25) (0.36) (0.55) (-1.18)
Value 2.23\(^{*}\) 0.96 1.47 -0.76 NA Value 3.21\(^{***}\) 0.9 0.59 -2.61\(^{***}\)
(1.83) (0.78) (1.47) (-0.93) NA (2.78) (0.75) (0.56) (-3.37)
HML 0.6 0.81 2.47\(^{***}\) NA NA HML 0.44 0.72 0.94\(^{*}\) NA
(0.90) (1.42) (3.65) NA NA (0.73) (1.34) (1.95) NA
NA NA NA NA NA NA NA NA NA NA NA
Panel A.2: beta-aanv Low Neutral High HML NA Panel B.2: beta-aanv Low Neutral High HML
Growth -0.97 0.13 -0.96 0.02 NA Growth -0.1 0.89 1.3 1.4\(^{**}\)
(-1.04) (0.12) (-0.87) (0.02) NA (-0.11) (0.86) (1.22) (2.44)
Neutral 0.49 1.24 -0.1 -0.59 NA Neutral 0.57 0.78 0.65 0.08
(0.43) (1.07) (-0.08) (-0.55) NA (0.53) (0.71) (0.56) (0.15)
Value 1.37 1.21 0.31 -1.06 NA Value 3.19\(^{***}\) 1.61 1.04 -2.14\(^{***}\)
(1.30) (1.08) (0.26) (-0.95) NA (2.70) (1.51) (0.94) (-3.22)
HML 2.34\(^{**}\) 1.08 1.27 NA NA HML 3.29\(^{***}\) 0.71 -0.25 NA
(2.38) (1.26) (1.34) NA NA (5.47) (1.39) (-0.37) NA
NA NA NA NA NA NA NA NA NA NA NA
Panel A.3: mom-aanv Loser Neutral Winner HML NA Panel B.3: mom-aanv Loser Neutral Winner HML
Growth 0.16 0.5 -1.76\(^{*}\) -1.92\(^{**}\) NA Growth 2.55\(^{**}\) 0.81 -1 -3.55\(^{***}\)
(0.15) (0.45) (-1.91) (-2.35) NA (2.39) (0.79) (-1.03) (-6.68)
Neutral 0.96 1.02 0.19 -0.77 NA Neutral 1.69 0.14 -0.13 -1.82\(^{***}\)
(0.77) (0.80) (0.18) (-0.72) NA (1.57) (0.13) (-0.12) (-3.23)
Value 1.29 1.85 0.27 -1.03 NA Value 3.51\(^{***}\) 1.63 -0.13 -3.63\(^{***}\)
(1.06) (1.64) (0.25) (-0.98) NA (3.17) (1.50) (-0.12) (-4.83)
HML 1.13 1.35\(^{*}\) 2.03\(^{***}\) NA NA HML 0.96 0.81 0.87 NA
(1.37) (1.75) (2.79) NA NA (1.35) (1.51) (1.44) NA
NA NA NA NA NA NA NA NA NA NA NA
Panel A.4: ivol-aanv Low Neutral High HML NA Panel B.4: ivol-aanv Low Neutral High HML
Growth -0.08 -1.16 -2.96\(^{**}\) -2.88\(^{**}\) NA Growth 0.38 0.59 0.57 0.19
(-0.08) (-1.05) (-2.41) (-2.54) NA (0.38) (0.59) (0.57) (0.31)
Neutral 0.8 -0.57 -1.01 -1.81 NA Neutral 0.99 0.89 -0.18 -1.17\(^{*}\)
(0.78) (-0.49) (-0.75) (-1.59) NA (0.91) (0.79) (-0.16) (-1.96)
Value 1.54 1.09 -0.2 -1.74 NA Value 1.42 1.43 3.03\(^{***}\) 1.61\(^{***}\)
(1.52) (0.85) (-0.14) (-1.20) NA (1.40) (1.29) (2.71) (2.75)
HML 1.62\(^{**}\) 2.25\(^{**}\) 2.76\(^{*}\) NA NA HML 1.04\(^{***}\) 0.84 2.46\(^{***}\) NA
(2.16) (2.35) (1.88) NA NA (2.64) (1.58) (4.29) NA

Robustness II: Bivariate Portfolio Sort - daily

I provide Table IV of my paper, when cryptoassets are daily, unconditionally sorted.

Averages of daily percent excess returns for value-weighted (Panel A) and equal-weighted (Panel B) portfolios formed on size and average active addresses to network value (aanv), market beta (beta) and aanv30, momentum and aanv, and idiosyncratic volatility (ivol) and aanv ; 04-July-2017 to 06-October-2020, 170 weeks. At the end of each Tuesday (=t), crypotassets are allocated into groups based on the first variable and independently allocated to three aanv30 groups. The intersections of the two sorts produce nine portfolios. In the sort time t, market beta is estimated from t-28 days until t, size is the market cap at time t, momentum is the cumulative return from t-90 days to t, idiosyncratic volatility is the standard deviation of the residuals after estimating the CAPM from t-28 days until t. Then, value-weighted and equal-weighted portfolio returns are calculated from day t to day t+1. The HML column (row) is a long-short portfolio, which is long in the third column (row) and short in the first column (row). T-statistics are reported in parenthesis below the coefficients. , , indicate statistical significance levels at the 10%, 5%, 1% levels, respectively.
Panel A: Value-weighted Panel B: Equal-weighted
Panel A.1: size-aanv Small Neutral Big HML NA Panel B.1: size-aanv Small Neutral Big HML
Growth 0.44\(^{***}\) -0.02 -0.1 -0.54\(^{***}\) NA Growth 0.73\(^{***}\) 0.01 -0.12 -0.85\(^{***}\)
(3.11) (-0.12) (-0.71) (-4.65) NA (5.47) (0.06) (-0.87) (-9.13)
Neutral 0.21 0.09 0.11 -0.1 NA Neutral 0.28\(^{*}\) 0.07 0.04 -0.23\(^{**}\)
(1.28) (0.63) (0.83) (-0.78) NA (1.74) (0.52) (0.29) (-2.05)
Value 0.64\(^{***}\) 0.12 0.17 -0.47\(^{***}\) NA Value 1.06\(^{***}\) 0.13 0.03 -1.02\(^{***}\)
(4.41) (0.75) (1.27) (-4.57) NA (7.58) (0.87) (0.23) (-10.48)
HML 0.2\(^{*}\) 0.13 0.27\(^{***}\) NA NA HML 0.32\(^{***}\) 0.12 0.15\(^{**}\) NA
(1.74) (1.51) (2.74) NA NA (3.09) (1.52) (2.37) NA
NA NA NA NA NA NA NA NA NA NA NA
Panel A.2: beta-aanv Low Neutral High HML NA Panel B.2: beta-aanv Low Neutral High HML
Growth -0.17 0.07 -0.08 0.09 NA Growth 0.07 0.2 0.25\(^{*}\) 0.18\(^{**}\)
(-1.32) (0.47) (-0.50) (0.70) NA (0.63) (1.44) (1.69) (1.98)
Neutral 0.06 0.16 0.05 -0.01 NA Neutral 0.02 0.11 0.1 0.08
(0.39) (1.10) (0.29) (-0.08) NA (0.14) (0.73) (0.61) (0.83)
Value 0.28\(^{*}\) 0.1 -0.05 -0.33\(^{**}\) NA Value 0.81\(^{***}\) 0.46\(^{***}\) 0.5\(^{***}\) -0.31\(^{***}\)
(1.94) (0.69) (-0.30) (-2.22) NA (6.13) (3.12) (3.11) (-2.67)
HML 0.45\(^{***}\) 0.03 0.03 NA NA HML 0.73\(^{***}\) 0.26\(^{***}\) 0.24\(^{**}\) NA
(3.42) (0.28) (0.25) NA NA (8.20) (2.99) (2.42) NA
NA NA NA NA NA NA NA NA NA NA NA
Panel A.3: mom-aanv Loser Neutral Winner HML NA Panel B.3: mom-aanv Loser Neutral Winner HML
Growth 0.12 0.04 -0.2 -0.32\(^{**}\) NA Growth 0.87\(^{***}\) 0.06 -0.39\(^{***}\) -1.26\(^{***}\)
(0.74) (0.25) (-1.33) (-2.58) NA (6.25) (0.40) (-2.85) (-14.92)
Neutral 0.33\(^{**}\) 0.04 0.03 -0.29\(^{**}\) NA Neutral 0.62\(^{***}\) 0.02 -0.28\(^{*}\) -0.9\(^{***}\)
(2.02) (0.23) (0.22) (-2.51) NA (4.24) (0.16) (-1.90) (-9.70)
Value 0.42\(^{***}\) 0.22 0.11 -0.32\(^{**}\) NA Value 1.28\(^{***}\) 0.41\(^{***}\) -0.14 -1.42\(^{***}\)
(2.73) (1.49) (0.71) (-2.45) NA (8.61) (2.87) (-0.97) (-11.61)
HML 0.31\(^{**}\) 0.18\(^{*}\) 0.31\(^{**}\) NA NA HML 0.41\(^{***}\) 0.35\(^{***}\) 0.24\(^{**}\) NA
(2.41) (1.72) (2.52) NA NA (3.53) (3.72) (2.53) NA
NA NA NA NA NA NA NA NA NA NA NA
Panel A.4: ivol-aanv Low Neutral High HML NA Panel B.4: ivol-aanv Low Neutral High HML
Growth 0.03 -0.18 -0.57\(^{***}\) -0.6\(^{***}\) NA Growth 0.08 0.08 0.29\(^{**}\) 0.2\(^{**}\)
(0.19) (-1.16) (-2.80) (-3.36) NA (0.64) (0.61) (2.06) (2.29)
Neutral 0.13 -0.02 -0.18 -0.32\(^{**}\) NA Neutral 0.21 0.07 -0.04 -0.25\(^{***}\)
(1.02) (-0.12) (-1.00) (-2.20) NA (1.49) (0.45) (-0.26) (-2.75)
Value 0.19 0.19 0.08 -0.11 NA Value 0.21 0.43\(^{***}\) 1.1\(^{***}\) 0.89\(^{***}\)
(1.43) (1.06) (0.35) (-0.57) NA (1.62) (2.79) (7.59) (9.31)
HML 0.16\(^{*}\) 0.37\(^{**}\) 0.65\(^{***}\) NA NA HML 0.13\(^{**}\) 0.35\(^{***}\) 0.81\(^{***}\) NA
(1.73) (2.49) (2.77) NA NA (2.28) (3.55) (7.39) NA