Crypto Factor Zoo (.zip)

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Authors
Mercik, Aleksander ORCID logo 0000-0003-1076-6619
Zaremba, Adam ORCID logo 0000-0001-5879-9431
Demir, Ender ORCID logo 0000-0003-4034-269X
Date
2026-03-04
Journal Title
Journal ISSN
Volume Title
Publisher
Elsevier
License
Creative Commons License
Attribution 4.0 International
Abstract
How many factors are genuinely needed to explain the cross-section of cryptocurrency returns? To answer this, we are the first to apply the alpha-based, iterative factor selection methodology of Swade et al. (2024), initially developed for equities, to the cryptocurrency market. Using a comprehensive set of 36 return-predictive factors, we find that just two to three factors can eliminate all significant portfolio alphas. The most influential factors include turnover volatility, bid–ask spreads, and blockchain-native metrics such as the new-address-to-price ratio. Liquidity-related variables dominate the selection process, appearing consistently across weighting schemes, model specifications, and periods.
Description
Keywords
cryptocurrency markets  factor zoo  asset pricing  GRS test  turn predictability
Citation
Mercik, A., Zaremba, A., & Demir, E. (2026). Crypto factor zoo (.Zip). International Review of Financial Analysis, 113, 105137. https://doi.org/10.1016/j.irfa.2026.105137
URI
https://open.icm.edu.pl/handle/123456789/26644
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