On the (almost) stochastic dominance of cryptocurrency factor portfolios and implications for cryptocurrency asset pricing

Cryptocurrency returns are highly nonnormal, casting doubt on the standard performance metrics. We apply almost stochastic dominance, which does not require any assumption about return distribution or degree of risk aversion. From 29 long–short cryptocurrency factor portfolios, we find eight that dominate our four benchmarks. Their cannot be fully explained by three-factor coin model Liu et al. So develop a new where momentum is replaced mispricing based size and risk-adjusted momentum, significantly improves pricing performance.