Research

Is There a Value Premium in Cryptoasset Markets?
Job Market Paper

This study examines if blockchain fundamentals determine cryptoasset prices. Previous research has shown that non-fundamental factors affect cryptoasset prices however, whether blockchain fundamentals affect cryptoasset prices, lacks empirical research. Using data for 652 cryptoassets, I specify active addresses-to-network value as a valuation metric that captures transaction benefits. I find anomalous returns that increase with active addresses-to-network value ratio, a proxy for the value anomaly. Cryptoassets with a high active addresses-to-network value ratio yield on average 3.7 percentage points higher weekly returns than cryptoassets with low active addresses-to-network value ratio, and comparable size. A four-factor model directed at capturing the value pattern in average returns performs better than the three-factor model. Importantly, my results suggest that cryptoasset prices are related to their blockchain fundamentals.

Survivorship and Delisting Bias in Cryptocurrency Markets
Working Paper with Manuel Ammann, Sebastian Stöckl, and Tom Burdorf

This study quantifies performance measures distortions in a cryptocurrency sample truncated by survivorship and delisting bias. Previous research shows that the attrition rate in cryptocurrency markets is high. However, the survivorship and delisting bias in cryptocurrencies lacks empirical research. Using data for 3’904 cryptocurrencies during the 2014-2021 period, we estimate an annualized survivorship bias of 0.93% (62.19%) for value-weighted (equal-weighted) portfolios. After controlling for survivorship and delisting bias, we revisit the relationship between average returns, size, past performance, and market beta. Our results confirm the size effect, but the premium is significantly inflated in a survival-conditioned sample. In contrast, we find no evidence of a positive relationship between average returns, momentum, and market beta. Our results suggest that besides the survivorship bias, the selection bias significantly affects the variation of results in previous studies.

Raining Cryptos

This study examines the effect of airdrops and hard forks on cryptocurrency prices. During airdrops and hard forks, issuers distribute coins to investors holding a distinct parent coin. Previous research has shown that airdrops are a popular marketing technique and are effective in expanding the coins' user network. However, to what extent airdrops and hard forks affect cryptocurrency prices lacks empirical research. Using data from 67 events during the period 2014-2020, I employ event study methodology to examine the effect of airdrops and hard forks on cryptocurrency prices. The announcement of an airdrop or hard fork does not affect cryptocurrency prices. In contrast, the distribution of coins immediately decreases the prices of the parent coin by 4.65%. Importantly, I show that airdrops and hard forks lead to a substitution effect due to the availability of a better cryptocurrency.

Income and Household Location Choice in Switzerland

with Zeno Adams

We examine household location choice for eight cities in Switzerland. In line with other studies for Europe and the U.S., empirical evidence for the income gradient is weak in standard regression specifications that control for household characteristics and amenities. We provide a possible solution for this long standing empirical puzzle and obtain negatively sloped income gradients that are postulated by the monocentric city model. We show that municipality taxes, a variable that has particular spatial variation in Switzerland, plays a dominant role in explaining households‘ cross-sectional arrangements. This has significant implications for policymakers, their local tax rate decisions, and the maximization of the tax substrate.