Abstract:
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 cryptocurrencies for the years 2016 to 2019. We find a significant seasonal
pattern: average past same-weekday returns positively predict future performance in the crosssection.
Cryptocurrencies with high same-day returns in the past outperform cryptocurrencies
with a low same-day return. This effect is not subsumed by other established return predictors
such as momentum, size, beta, idiosyncratic risk, or liquidity.
