Risk and Return in NFT Markets: A CAPM Perspective

This paper analyzes the risk–return tradeoff in non-fungible token (NFT) markets from a Capital Asset Pricing Model (CAPM) perspective. Using an exhaustive transaction-level dataset spanning multiple blockchains from January 2018 to May 2024, we examine whether NFT market risk is compensated by higher expected returns. We construct equal-weighted and value-weighted NFT market indices and estimate market betas at the collection and token levels. The results show that collection-level risk premia are generally negative over the full sample, indicating limited com-pensation for market risk. However, risk premia become positive during bull markets, particularly for less liquid collections. At the token level, individual NFTs can earn positive risk premia when their beta is positive, even in bear markets.