Cryptocurrency factor momentum

Christian Fieberg, Gerrit Liedtke, Daniel Metko and Adam Zaremba

Quantitative Finance, 2023, vol. 23, issue 12, 1853-1869

Abstract: Is there a momentum effect in cryptocurrency anomalies? To answer this, we analyze data from over 3900 coins spanning the years 2014 to 2022 and replicate 34 anomalies in the cross-section of cryptocurrency returns. We document a discernible pattern in factor premia: past winners consistently outperform losers. The effect persists across subperiods, withstands various methodological approaches, and its magnitude parallels that of its stock market counterpart. However, the autocorrelation in factor returns is not widespread and primarily stems from size and volatility anomalies. Additionally, unlike in stocks, cryptocurrency factor momentum originates from price momentum, which subsequently transfers to the factor level.

Date: 2023
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DOI: 10.1080/14697688.2023.2269999

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