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  4. Cryptocurrency factor momentum
 
Verlagslink DOI
10.1080/14697688.2023.2269999

Cryptocurrency factor momentum

Veröffentlichungsdatum
2023
Autoren
Fieberg, Christian  
Liedtke, Gerrit  
Metko, Daniel  
Zaremba, Adam  
Zusammenfassung
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.
Schlagwörter
Factor momentum

; 

Cryptocurrency anomalies

; 

Return predictability
Verlag
Routledge
Institution
Hochschule Bremen  
Fachbereich
Hochschule Bremen - Fakultät 1: Wirtschaftswissenschaften - School of International Business (SiB)  
Dokumenttyp
Artikel/Aufsatz
Zeitschrift/Sammelwerk
Quantitative Finance  
Band
23
Heft
12
Startseite
1853
Endseite
1869
Sprache
Englisch

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