Non-standard errors in the cryptocurrency world

Christian Fieberg, Steffen Günther, Thorsten Poddig and Adam Zaremba

International Review of Financial Analysis, 2024, vol. 92, issue C

Abstract: Motivated by recent findings from the equity market, we investigate non-standard errors in cryptocurrency research. We examine ten prevalent decisions related to data sources, sample preparation, and portfolio construction, generating 20,736 research designs for 43 sorting variables. Our findings reveal remarkable variation in portfolio performance tied to seemingly trivial choices. The non-standard errors in cryptocurrency studies not only surpass those in the stock market but also clearly exceed standard errors—though varying considerably across coin characteristics. Notwithstanding the above, the most prominent cryptocurrency factors, such as size and momentum, remain consistently robust across numerous specifications. Lastly, we find that reducing the influence of the smallest coins effectively decreases the non-standard errors.

Keywords: Cryptocurrency markets; Non-standard errors; Portfolio sorts; Data mining; p-hacking; Risk factors; Anomalies; Asset pricing models; Factor investing; Portfolio construction (search for similar items in EconPapers)
Date: 2024
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finana:v:92:y:2024:i:c:s1057521924000383

DOI: 10.1016/j.irfa.2024.103106

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