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

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Listed:
  • Melisa Ozdamar

    (Bilkent University)

  • Levent Akdeniz

    (Bilkent University)

  • Ahmet Sensoy

    (Bilkent University)

Abstract

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 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.

Suggested Citation

  • Melisa Ozdamar & Levent Akdeniz & Ahmet Sensoy, 2021. "Lottery-like preferences and the MAX effect in the cryptocurrency market," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 7(1), pages 1-27, December.
    • Handle: RePEc:spr:fininn:v:7:y:2021:i:1:d:10.1186_s40854-021-00291-9
    DOI: 10.1186/s40854-021-00291-9
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    Cited by:

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    6. Nagl, Maximilian, 2024. "Intricacy of cryptocurrency returns," Economics Letters, Elsevier, vol. 239(C).
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    More about this item

    Keywords

    Cryptocurrencies; MAX effect; Lottery-like preference; Cross-sectional predictability;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation

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