Cryptocurrency as an Investable Asset Class: Coming of Age

Cryptocurrencies are coming of age. We organize empirical regularities into ten stylized facts and analyze cryptocurrency through the lens of empirical asset pricing. We find important similarities with traditional markets -- risk-adjusted performance is broadly comparable, and the cross-section of returns can be summarized by a small set of factors. However, cryptocurrency also has its own distinct character: jumps are frequent and large, and blockchain information helps drive prices. This common set of facts provides evidence that cryptocurrency is emerging as an investable asset class.