Cryptocurrency factor momentum

被引：3

作者：

Fieberg, Christian ^{[1
,2
,3
]}

Liedtke, Gerrit ^{[4
]}

Metko, Daniel ^{[4
]}

Zaremba, Adam ^{[5
,6
,7
]}

机构：

[1] City Univ Appl Sci, Sch Int Business, Bremen, Germany

[2] Univ Luxembourg, Dept Econ & Management, Luxembourg, Luxembourg

[3] Concordia Univ, Dept Finance, Montreal, PQ, Canada

[4] Univ Bremen, Fac Business Studies & Econ, Bremen, Germany

[5] Montpellier Business Sch, 2300 Ave Moulins, F-34185 Montpellier, France

[6] Poznan Univ Econ & Business, Inst Finance, Dept Investment & Financial Mkts, Al Niepodleglosci 10, PL-61875 Poznan, Poland

[7] Univ Cape Town, Fac Commerce, Dept Finance & Tax, Cape Town, South Africa

来源：

QUANTITATIVE FINANCE | 2023年 / 23卷 / 12期

关键词：

Factor momentum; Cryptocurrency anomalies; The cross-section of cryptocurrency returns; Return predictability; CROSS-SECTION; RETURN; RISK;

D O I：

10.1080/14697688.2023.2269999

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

Is there a momentum effect in cryptocurrency anomalies? To answer this, we analyze data from over 3900 coins spanning the years 2014 to 2022 and replicate 34 anomalies in the cross-section of cryptocurrency returns. We document a discernible pattern in factor premia: past winners consistently outperform losers. The effect persists across subperiods, withstands various methodological approaches, and its magnitude parallels that of its stock market counterpart. However, the autocorrelation in factor returns is not widespread and primarily stems from size and volatility anomalies. Additionally, unlike in stocks, cryptocurrency factor momentum originates from price momentum, which subsequently transfers to the factor level.

引用

页码：1853 / 1869

页数：17

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