Szczygielski, Jan JakubKarathanasopoulos, AndreasZaremba, Adam2020-10-192020Szczygielski, J.J., Karathanasopoulos, A. & Zaremba, A. 2020, 'One shape fits all? A comprehensive examination of cryptocurrency return distributions', Applied Economics Letters, vol. 27, no. 19, pp. 1567-1573.1350-4851 (print)1466-4291 (online)10.1080/13504851.2019.1697420http://hdl.handle.net/2263/76540We perform the most comprehensive test of cryptocurrency return distributions to date. We fit 58 hypothetical distributions to 15 major cryptocurrencies to establish which of these best describes cryptocurrency returns. The answer is: ‘It depends.’ A sharp-peaked Cauchy distribution is the most likely distribution for the majority of return series. Specific distributions are definitively identified for only a handful of cryptocurrencies. The best fitting distributions are peaked and thick-tailed, with some possessing variable shape parameters. Our findings have implications for financial modelling and its applications, such as risk measurement and risk management.en© 2020 Informa UK Limited, trading as Taylor & Francis Group. This is an electronic version of an article published in Applied Economics Letters, vol. 27, no. 19, pp. 1567-1573, 2020. doi : 10.1080/13504851.2019.1697420. Applied Economics Letters is available online at : http://www.tandfonline.com/loi/rael20.CryptocurrenciesReturn distributionsBitcoinSkewnessKurtosisPostprint Article