We find that three factors—cryptocurrency market, size, and momentum—capture the cross‐
sectional expected cryptocurrency returns. We consider a comprehensive list of price‐and …

We propose a new method for estimating latent asset pricing factors that fit the time series
and cross-section of expected returns. Our estimator generalizes principal component …

Momentum in individual stock returns relates to momentum in factor returns. Most factors are
positively autocorrelated: the average factor earns a monthly return of six basis points …