dam a22 2 4500 551314001 CHVBK 20200911032848.0 cr || |||||||| 181212s2018 sz om 00 eng d (IDSSG)001028707 SzZuIDS HSG ger rda 330 12606265102 edok Schäppi Massimo Verfasser aut Analyzing selected crypto-asset market anomalies and deriving a factor investing strategy Massimo Schäppi St. Gallen 2018 1 Online-Ressource Text txt rdacontent/ger Computermedien c rdamedia/ger Online-Ressource cr rdacarrier/ger Master-Arbeit / Universität St. Gallen Masterarbeit Universität St. Gallen 2018 2017 was the year in which crypto-assets became accepted as an independent mainstream asset class. The valuation bubble is without question speculative but also an indication of the future potential that blockchain technology may offer. Global access to crypto-assets via the world wide web together with increasing public awareness of crypto-assets as a unique non-regulated asset class have increased demand. Financial institutions have reacted to this demand pull by simplifying access and improving security for investors. The market, nevertheless, remains underdeveloped. As a result, capital allocation across the crypto-asset class remains inefficient. This paper argues that market anomalies offer substantial investment opportunities. Recent academic work suggests that fundamental investment strategies used in equity investing can also be applied to this new alternative asset class using a factor model. This paper identifies the factors market excess return, size, value and momentum to explain crypto-asset returns. As a conclusion, this paper offers a multi-factor crypto-asset investment strategy. The strategy has outperformed the broader crypto-asset market on a risk-adjusted basis. Moreover, even when transaction costs are included, the model continues to outperform all relevant benchmarks. Blockchain; crypto-assets; alternative assets Hochschulschrift gnd-content Hotz Florian 1979- (DE-588)1116523779 Akademischer Betreuer dgs http://www1.unisg.ch/org/biblio/edoc.nsf/SysLkpByIdentifier/12606265102/$FILE/12606265102.pdf Volltext für Angehörige der Universität St. Gallen BK020353 XK020053 XK020000 IDSSG 100 1- Schäppi Massimo Verfasser aut IDSSG 490 0- Master-Arbeit / Universität St. Gallen IDSSG 700 1- Hotz Florian 1979- (DE-588)1116523779 Akademischer Betreuer dgs IDSSG 856 4- http://www1.unisg.ch/org/biblio/edoc.nsf/SysLkpByIdentifier/12606265102/$FILE/12606265102.pdf Volltext für Angehörige der Universität St. Gallen