Lottery-like preferences and the MAX effect in the cryptocurrency market

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buir.contributor.authorÖzdamar, Melisa
buir.contributor.authorAkdeniz, Levent
buir.contributor.authorŞensoy, Ahmet
buir.contributor.orcidÖzdamar, Melisa|0000-0002-2718-6066
buir.contributor.orcidŞensoy, Ahmet|0000-0001-7967-5171
dc.citation.epage27en_US
dc.citation.issueNumber1en_US
dc.citation.spage1en_US
dc.citation.volumeNumber7en_US
dc.contributor.authorÖzdamar, Melisa
dc.contributor.authorAkdeniz, Levent
dc.contributor.authorŞensoy, Ahmet
dc.date.accessioned2022-02-11T13:32:20Z
dc.date.available2022-02-11T13:32:20Z
dc.date.issued2021-12
dc.departmentDepartment of Managementen_US
dc.description.abstractWe investigate the significance of extreme positive returns in the cross-sectional pricing of cryptocurrencies. Through portfolio-level analyses and weekly cross-sectional regressions on all cryptocurrencies in our sample period, we provide evidence for a positive and statistically significant relationship between the maximum daily return within the previous month (MAX) and the expected returns on cryptocurrencies. In particular, the univariate portfolio analysis shows that weekly average raw and risk-adjusted return differences between portfolios of cryptocurrencies with the highest and lowest MAX deciles are 3.03% and 1.99%, respectively. The results are robust with respect to the differences in size, price, momentum, short-term reversal, liquidity, volatility, skewness, and investor sentiment.en_US
dc.description.provenanceSubmitted by Türkan Cesur (cturkan@bilkent.edu.tr) on 2022-02-11T13:32:19Z No. of bitstreams: 1 Lottery-like preferences and the MAX effect in the cryptocurrency market.pdf: 1632626 bytes, checksum: 1cbf101769a4c1287f575a92798d1629 (MD5)en
dc.description.provenanceMade available in DSpace on 2022-02-11T13:32:20Z (GMT). No. of bitstreams: 1 Lottery-like preferences and the MAX effect in the cryptocurrency market.pdf: 1632626 bytes, checksum: 1cbf101769a4c1287f575a92798d1629 (MD5) Previous issue date: 2021-12en
dc.identifier.doi10.1186/s40854-021-00291-9en_US
dc.identifier.eissn2199-4730
dc.identifier.urihttp://hdl.handle.net/11693/77299
dc.language.isoEnglishen_US
dc.publisherSpringerOpenen_US
dc.relation.isversionofhttps://doi.org/10.1186/s40854-021-00291-9en_US
dc.source.titleFinancial Innovationen_US
dc.subjectCryptocurrenciesen_US
dc.subjectMAX efecten_US
dc.subjectLottery-like preferenceen_US
dc.subjectCross-sectional predictabilityen_US
dc.titleLottery-like preferences and the MAX effect in the cryptocurrency marketen_US
dc.typeArticleen_US

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