Predicting the expected returns of cryptocurrencies using CAPM and D-CAPM approaches

In the present study, the expected returns of cryptocurrencies were compared capital asset pricing model (CAPM) and downside capital asset pricing model (D-CAPM) approaches. For this purpose, fifty cryptocurrencies were studied as representative of risky assets in a five-year period from ۲۰۱۸ to ۲۰۲۲ with daily frequency. First, the panel was investigated using Levin-Lin-Chu, Im-Pesaran, and Shin and Dickey-Fuller's tests. Then, using paired t-statistics, the difference between the return estimates of the two models was investigated. Finally, using R۲ and the generalized linear test model, the better model was selected to justify the changes in asset returns in these cryptocurrencies and portfolios. Based on the results, in almost ۹۰% of the analyzed portfolios, the D-CAPM model was better than the CAPM model and had more justification power than the old CAPM model. In less than ۱% of the models, the degree of justification and the appropriateness of the models were the same.

کلیدواژه ها:

cryptocurrency ، Capital Asset Pricing Model (CAPM) ، Downside Capital Asset Pricing Model (D-CAPM)