The fair value of a token: How do markets price cryptocurrencies?

Philip Nadler*, Yi-Ke GUO

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

11 Citations (Scopus)


With the rise of cryptocurrency tokens as a new asset class, the question of the fair evaluation of a cryptocurrency token has become a question of increasing importance. We estimate the pricing kernel with which users price factors affecting their token holdings. We investigate how traditional risk factors such as market risk are evaluated, as well as how blockchain specific risk factors are priced in. In order to do so, we introduce an asset pricing model and modify its properties to make it applicable to cryptocurrency markets. We group the risk factors into market related and Bitcoin- and Ethereum blockchain specific risk factors. We find that blockchain specific risk factors are priced in. There is evidence that risk factors have moved from Bitcoin to Ethereum specific risk factors with an increasing importance of market factors, providing evidence for a decoupling of on-chain and off-chain trading activity.

Original languageEnglish
Article number101108
JournalResearch in International Business and Finance
Publication statusPublished - Apr 2020

Scopus Subject Areas

  • Business, Management and Accounting (miscellaneous)
  • Finance

User-Defined Keywords

  • Asset pricing
  • Bitcoin
  • Cryptocurrencies
  • Risk factors


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