Proof-of-What? Detecting Original Consensus Algorithms in Cryptocurrencies with a Four-Factor Model

Shanaev, Savva; Sharma, Satish Kumar; Valluri, Subhakara; Shuraeva, Arina

doi:10.2139/ssrn.3395008

Cited by 2 publications

(1 citation statement)

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“…The results, however, were robust to alternative measures of size and value. Older sets enjoy higher expected returns, suggesting that age influences performance not via the differential information or risk channels, as for stocks (Barry and Brown, 1984) or cryptocurrencies (Shanaev et al , 2019), but rather demonstrating a liquidity effect. This “LEGO yield curve” is estimated to have a slope of approximately 0.65% per year.…”

Section: Findings and Discussionmentioning

confidence: 99%

Children’s toy or grown-ups’ gamble? LEGO sets as an alternative investment

Shanaev

Shimkus

Ghimire

et al. 2020

JRF

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Purpose The purpose of this paper is to study LEGO sets as a potential alternative asset class. An exhaustive sample of 10,588 sets is used to generate inferences regarding long-term LEGO performance, its diversification benefits and return determinants. Design/methodology/approach LEGO set performance is studied in terms of equal- and value-weighted portfolios, sorts based on set characteristics and cross-sectional regressions. Findings Over 1966–2018, LEGO value-weighted index accounted for survivorship bias enjoys 1.20% inflation-adjusted return per annum, well below 5.54% for equities. However, the defensive properties of LEGO are considerable, as including 5%–25% of LEGO in a diversified portfolio is beneficial for investors with varying levels of risk aversion. LEGO secondary market is relatively internationalised, with investors from larger economies, countries with higher per capita incomes and less income inequality are shown to trade LEGO more actively. Practical implications LEGO investors derive non-pecuniary utility that is separable from their risk-return profile. LEGO is not exposed to any of the Fama-French factors, however, set-specific size and value effects are also well-pronounced on the LEGO market, with smaller sets and sets with lower price-to-piece ratio exhibiting higher yields. Older sets are also enjoying higher returns, demonstrating a liquidity effect. Originality/value This is the first study to investigate the investment properties of LEGO as an alternative asset class from micro- and macro-financial perspectives that overcomes many survivorship bias limitations prevalent in earlier research. LEGO trading is shown to be an important source of valuable data to enable original robustness checks for prominent theoretical concepts from asset pricing and behavioural finance literature.

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Section: Findings and Discussionmentioning

confidence: 99%