Seasonality in the cross-section of cryptocurrency returns
dc.contributor.author | Long, Huaigang | |
dc.contributor.author | Zaremba, Adam | |
dc.contributor.author | Demir, Ender | |
dc.contributor.author | Szczygielski, Jan Jakub | |
dc.contributor.author | Vasenin, Mikhail | |
dc.date.accessioned | 2020-10-03T09:10:10Z | |
dc.date.available | 2020-10-03T09:10:10Z | |
dc.date.issued | 2020-07 | |
dc.description.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. | en_ZA |
dc.description.department | Financial Management | en_ZA |
dc.description.librarian | am2020 | en_ZA |
dc.description.uri | https://www.elsevier.com/locate/frl | en_ZA |
dc.identifier.citation | Long, 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.issn | 1544-6123 (print) | |
dc.identifier.issn | 1544-6131 (online) | |
dc.identifier.other | 10.1016/j.frl.2020.101566 | |
dc.identifier.uri | http://hdl.handle.net/2263/76329 | |
dc.language.iso | en | en_ZA |
dc.publisher | Elsevier | en_ZA |
dc.rights | © 2020 The Authors. This is an open access article under the CC BY-NC-ND license. | en_ZA |
dc.subject | Cryptocurrencies | en_ZA |
dc.subject | Cross-sectional seasonality | en_ZA |
dc.subject | Cross-section of returns | en_ZA |
dc.subject | Return predictability | en_ZA |
dc.subject | Asset pricing | en_ZA |
dc.title | Seasonality in the cross-section of cryptocurrency returns | en_ZA |
dc.type | Article | en_ZA |
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