This thesis focuses on the risk-return relationship. It aims to discover the determinants of financial returns in the crypto-currency market. Specifically, we begin this thesis by investigating the unique risks faced by blockchain-based assets (e.g., cryptographic attacks, smart contract attacks, and other technological vulnerabilities), which may be the source of inherent market volatility. With the idea of exploring Blockchain-specific risks, this thesis also includes an analysis of the impact of technological events on the financial characteristics of crypto-assets. Furthermore, the thesis exposes the diversity of crypto-assets and their implications for asset valuation.