sstoeckl/opencryptoassetpricing

Open Crypto Asset Pricing

Cryptocurrency risk factors (CMKT, CSMB, CMOM) constructed following Liu, Tsyvinski & Wu (2022), "Common Risk Factors in Cryptocurrency," Journal of Finance, 77(2), 1133-1177.

Website: sstoeckl.github.io/crypto_data

Author: Sebastian Stoeckl, Professor of Financial Economics, University of Liechtenstein.

Dataset Structure

data/
  spec_grid.parquet          # Specification grid (parameter lookup)
  spec_grid.csv              # Same, for easy browsing
  factors_liu.parquet         # Exact Liu et al. (2022) replication
  factors/                    # Factor variants (parquet)
  portfolios/                 # Portfolio variants (parquet)

Liu Exact Factors (factors_liu.parquet)

The canonical baseline. Exact Liu et al. (2022) methodology: value-weighted, 30/40/30 breakpoints, 2x3 double sort for CMOM, sharp-year calendar.

Column	Description
week_start	Period start date (YYYY-MM-DD)
CMKT	Value-weighted market excess return
n_mkt	Number of eligible coins
CSMB	Size factor (Small minus Big, 30/40/30)
n_smb_small / n_smb_big	Coins in size groups
CMOM	Momentum factor (2x3 double sort)
cmom_complete	TRUE if all 4 cells (SH, SL, BH, BL) populated
n_SH / n_SL / n_BH / n_BL	Coins per double-sort cell

Factor Variants

576 parameter combinations across:

• Weighting: VW, EW
• Size breakpoints: 2 (median), 3 (tercile), 5 (quintile), 10 (decile)
• Momentum lookback: 2, 3, 4 weeks
• Calendar: sharp (Liu et al.), mon (Monday-Monday)
• Frequency: weekly, monthly
• Exclusions: all (stables+wrapped+derivs), nostable, none
• Delisting returns: on/off

Portfolio Variants

96 decile-sorted portfolio files (size + momentum x parameter combos).

Data Source

All data from CoinMarketCap via the crypto2 R package. Survivorship-bias free (includes delisted coins). Weekly returns capped at 9,900% to filter CMC data errors.

Usage

R

library(arrow)
liu <- read_parquet("hf://datasets/sstoeckl/opencryptoassetpricing/data/factors_liu.parquet")

Python

import pandas as pd
liu = pd.read_parquet("hf://datasets/sstoeckl/opencryptoassetpricing/data/factors_liu.parquet")

Citation

@misc{stoeckl2026opencrypto,
  author       = {Stoeckl, Sebastian},
  title        = {Open Crypto Asset Pricing},
  year         = {2026},
  institution  = {University of Liechtenstein},
  url          = {https://huggingface.co/datasets/sstoeckl/opencryptoassetpricing}
}

@article{liu2022common,
  author  = {Liu, Yukun and Tsyvinski, Aleh and Wu, Xi},
  title   = {Common Risk Factors in Cryptocurrency},
  journal = {Journal of Finance},
  volume  = {77},
  number  = {2},
  pages   = {1133--1177},
  year    = {2022},
  doi     = {10.1111/jofi.13119}
}