This research paper systematically examines cryptocurrencies through the framework of empirical asset pricing to assess their maturation as an investable asset class. The authors organize empirical regularities into ten stylized facts that capture the essential characteristics of cryptocurrency markets. Through rigorous analysis, they demonstrate that while cryptocurrencies share important similarities with traditional markets—particularly in terms of risk-adjusted performance and the ability to explain cross-sectional returns using factor models—they also possess distinct features that set them apart.

The methodology combines empirical market data analysis with a stylized facts approach, allowing for systematic comparison with traditional asset classes. The findings reveal that cryptocurrency returns can be effectively modeled using a small set of factors, similar to equity markets, suggesting some degree of market efficiency. However, the paper also identifies unique cryptocurrency characteristics, including frequent large price jumps and the significant role of blockchain-specific information in price formation. These results collectively provide compelling evidence that cryptocurrencies are evolving from speculative instruments toward a legitimate, distinct asset class with its own identifiable patterns and drivers.