Higher moments, extreme returns, and cross–section of cryptocurrency returns

Yuecheng Jia, Yuzheng Liu and Shu Yan

Finance Research Letters, 2021, vol. 39, issue C

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.

Keywords: Cryptocurrency; Return; Volatility; Skewness; Kurtosis; Extreme returns; Lottery preference; Crash risk (search for similar items in EconPapers)
JEL-codes: G12 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (16)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1544612320303135
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:39:y:2021:i:c:s1544612320303135

DOI: 10.1016/j.frl.2020.101536

Access Statistics for this article

Finance Research Letters is currently edited by R. Gençay

More articles in Finance Research Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().