Abstract
This study examines the cross–sectional return predictability of the higher moments of 84 cryptocurrencies computed using intraday data. We document strong evidence that volatility and kurtosis are positively related to future returns while the return predictability of skewness is negative. Further analysis indicates that the extreme positive returns but not the extreme negative returns significantly impact the return predictability of higher moments. The evidence implies that cryptocurrency investors have lottery–type preferences and are not concerned much about crash risk.
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 callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
