On the nature and the financial performance of Bitcoin

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Bitcoin is a major "crypto-currency" that provides high returns for investors, but with high levels of risk. The objective of this article is to raise the question about the true nature of the Bitcoin and to study empirically its performance. After questioning the nature of Bitcoin as a currency and justifying its asset nature, this research aims to test empirically its performance using traditional models such as the CAPM and the Fama-French 3-Factors. We use daily data from August 2010 to June 2016 and find that, while integrating Bitcoin in portfolio highly improves its diversification, it also provides positive and significant risk-adjusted returns in the World, European and Asia-Pacific regions.

Author(s):

Elise Alfieri    
CERAG
France

Radu Burlacu    
CERAG
France

Geoffroy Enjolras    
CERAG
France