%0 Journal Article %1 ZAREMBA2021101908 %A Zaremba, Adam %A Bilgin, Mehmet Huseyin %A Long, Huaigang %A Mercik, Aleksander %A Szczygielski, Jan J. %D 2021 %J International Review of Financial Analysis %K ba bitcoin blockchain crypto_curr %P 101908 %R https://doi.org/10.1016/j.irfa.2021.101908 %T Up or down? Short-term reversal, momentum, and liquidity effects in cryptocurrency markets %U https://www.sciencedirect.com/science/article/pii/S1057521921002349 %V 78 %X We demonstrate a new powerful predictive signal for cryptocurrency returns: the last day's return. Based on daily prices of more than 3600 coins, we document that the cryptocurrencies with low last day's return significantly outperform their counterparts with high last day's return. The effect is confirmed by a battery of cross-sectional tests and portfolio sorts, and is not subsumed by a broad range of other return predictors. We argue that the daily reversals result from the illiquidity of the vast majority of traded cryptocurrencies. In consequence, the pattern is cross-sectionally dependent on liquidity, and the handful of largest and most tradeable coins exhibit daily momentum rather than a reversal. Our findings help to reconcile earlier conflicting evidence on return persistence in cryptocurrency markets.

@article{ZAREMBA2021101908, abstract = {We demonstrate a new powerful predictive signal for cryptocurrency returns: the last day's return. Based on daily prices of more than 3600 coins, we document that the cryptocurrencies with low last day's return significantly outperform their counterparts with high last day's return. The effect is confirmed by a battery of cross-sectional tests and portfolio sorts, and is not subsumed by a broad range of other return predictors. We argue that the daily reversals result from the illiquidity of the vast majority of traded cryptocurrencies. In consequence, the pattern is cross-sectionally dependent on liquidity, and the handful of largest and most tradeable coins exhibit daily momentum rather than a reversal. Our findings help to reconcile earlier conflicting evidence on return persistence in cryptocurrency markets.}, added-at = {2021-12-20T15:21:03.000+0100}, author = {Zaremba, Adam and Bilgin, Mehmet Huseyin and Long, Huaigang and Mercik, Aleksander and Szczygielski, Jan J.}, biburl = {https://puma.ub.uni-stuttgart.de/bibtex/2e0163758b2e19e7a9df9b2fb18cc83f3/georglender}, description = {Up or down? Short-term reversal, momentum, and liquidity effects in cryptocurrency markets - ScienceDirect}, doi = {https://doi.org/10.1016/j.irfa.2021.101908}, interhash = {25f0fef0802289c77953bdf3b8597196}, intrahash = {e0163758b2e19e7a9df9b2fb18cc83f3}, issn = {1057-5219}, journal = {International Review of Financial Analysis}, keywords = {ba bitcoin blockchain crypto_curr}, pages = 101908, timestamp = {2021-12-20T14:21:03.000+0100}, title = {Up or down? Short-term reversal, momentum, and liquidity effects in cryptocurrency markets}, url = {https://www.sciencedirect.com/science/article/pii/S1057521921002349}, volume = 78, year = 2021 }