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Returns estimated since the market low on June 22, 2021 are equally stunning. SAND and ALICE generate, on the market-adjusted basis, at least 236% each, whereas TLM and AUDIO over 125%. Further, DEGO and SUPER earn 73% each. There are only four NFTs which underperform bitcoin (TFUEL, SLP, THETA, and BAKE), TFUEL being the most extreme losing NFT (-52%), ahead of SLP (-34). It is important to stress that TFUEL and THETA are one of the best performers long-term (Figure 4, Panel A). Both have been listed on the crypto exchange for over two years and together with ENJ are the most senior NFTs traded on the crypto market. On the other hand, TLM is one of the best short-term performers but in the long-term it loses about 50% of its value against bitcoin (Figure 4, Panel B). 4.3. NFT alphas and betas In this section, we estimate NFT alpha and beta from the capital asset pricing model (CAPM). We select a simple CAPM, because in the context of alternative investments “investor’s flow preferences are best explained by performance when the returns from other risk factors are subsumed in the CAPM alpha.” (Agarwal, Green, and Ren, 2018). We begin by estimating both parameters for each single NFT in the sample using hourly frequency data and the time series of returns from the initial listing day until the end of the sample period. We proxy for the market return using the return on bitcoin and assume the risk-free rate is zero. The latter is a reasonable assumption under the current economic circumstances. [Place Table 5 about here] Looking at Table 5, we notice that the vast majority of NFTs have positive alphas among which AXS, AUDIO, MANA, and THETA produce alphas, which are statistically significant at least at the 10% level. This result corresponds closely to our previous findings discussed above. AXS, AUDIO, MANA, and THETA are among the best-performing NFTs on both absolute and risk-adjusted basis. Moreover, and perhaps more important, when we estimate the parameters for the entire sample, alpha is positive and highly statistically significant at the 1% 18PDF Image | NFT The Analysis of Risk and Return
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