Seasonality in the cross-section of cryptocurrency returns

dc.contributor.authorLong, Huaigang
dc.contributor.authorZaremba, Adam
dc.contributor.authorDemir, Ender
dc.contributor.authorSzczygielski, Jan Jakub
dc.contributor.authorVasenin, Mikhail
dc.date.accessioned2020-10-03T09:10:10Z
dc.date.available2020-10-03T09:10:10Z
dc.date.issued2020-07
dc.description.abstractThis 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.en_ZA
dc.description.departmentFinancial Managementen_ZA
dc.description.librarianam2020en_ZA
dc.description.urihttps://www.elsevier.com/locate/frlen_ZA
dc.identifier.citationLong, H.G., Zaremba, A., Demir, E. et al. 2020, 'Seasonality in the cross-section of cryptocurrency returns', Finance Research Letters, vol. 35, art. 101566, pp. 1-8.en_ZA
dc.identifier.issn1544-6123 (print)
dc.identifier.issn1544-6131 (online)
dc.identifier.other10.1016/j.frl.2020.101566
dc.identifier.urihttp://hdl.handle.net/2263/76329
dc.language.isoenen_ZA
dc.publisherElsevieren_ZA
dc.rights© 2020 The Authors. This is an open access article under the CC BY-NC-ND license.en_ZA
dc.subjectCryptocurrenciesen_ZA
dc.subjectCross-sectional seasonalityen_ZA
dc.subjectCross-section of returnsen_ZA
dc.subjectReturn predictabilityen_ZA
dc.subjectAsset pricingen_ZA
dc.titleSeasonality in the cross-section of cryptocurrency returnsen_ZA
dc.typeArticleen_ZA

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