Abstract
We consider a variety of highly-diversified cross-sectional momentum and reversal strategies, with sorting and holding periods from 1 week up to 2 years. In a sample of 2,000 biggest cryptocurrencies, we identify a positive momentum on short horizons up to 2-4 weeks and a significant reversal on longer horizons. The reversal effect becomes more pronounced once we expand the sorting or holding periods. Momentum and, particularly, reversal returns are economically large, statistically significant and cannot be explained by standard cryptocurrency risk factors. The main drivers of the reversal effect are ‘past loser’ cryptocurrencies.
Full Text 
Sign-in/Register to access full text options
Sign-in/Register to access full text options 
Published version (
Free)
Free) 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a call
