Citation link:
Publisher DOI: https://doi.org/10.1016/j.irfa.2024.103218
https://media.suub.uni-bremen.de/handle/elib/8606
Publisher DOI: https://doi.org/10.1016/j.irfa.2024.103218

Cryptocurrency anomalies and economic constraints
Authors: | Fieberg, Christian ![]() Liedtke, Gerrit ![]() Zaremba, Adam ![]() |
Abstract: | The asset pricing literature documents a growing list of predictable patterns in the cross-section of cryptocurrency returns. But can they be forged into viable trading profits? We answer this question by examining the interplay between economic restrictions and return predictability in cryptocurrency markets. We find that size and volume anomalies originate from micro-cap coins of negligible economic importance. Conversely, the momentum effect prevails in larger cryptocurrencies but incurs substantial trading costs and extracts alphas largely from short positions. Most abnormal returns occur primarily in bull markets and fade over time. Therefore, protocols for identifying tradable cryptocurrency anomalies should focus on long positions, account for transaction costs, consider hard-to-trade coins, and emphasize performance in recent years. |
Keywords: | Cryptocurrency markets; Asset pricing; Anomalies | Issue Date: | 2024 | Publisher: | Elsevier | Journal/Edited collection: | International Review of Financial Analysis | Issue: | 94 | Start page: | 103218 | Type: | Artikel/Aufsatz | ISSN: | 10575219 | Institution: | Hochschule Bremen | Faculty: | Hochschule Bremen - Fakultät 1: Wirtschaftswissenschaften - School of International Business (SiB) |
Appears in Collections: | Bibliographie HS Bremen |
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