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

作　　者：Melisa Ozdamar Levent Akdeniz Ahmet Sensoy 

机构地区：[1]Faculty of Business Administration,Bilkent University,06800 Cankaya,Ankara,Turkey

出　　处：《Financial Innovation》2021年第1期1538-1564,共27页金融创新（英文）

摘　　要：We 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 riskadjusted 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.

关 键 词：Cryptocurrencies MAX effect Lottery-like preference Cross-sectional predictability 

分 类 号：F22[经济管理—国民经济]