Long, Huaigang; Zaremba, Adam; Demir, Ender; Szczygielski, Jan Jakub; Vasenin, Mikhail
(Elsevier, 2020-07)
This study presents the first attempt to examine the cross-sectional seasonality anomaly in
cryptocurrency markets. To this end, we apply sorts and cross-sectional regressions to investigate
daily returns on 151 ...