#2195. Up or down? Short-term reversal, momentum, and liquidity effects in cryptocurrency markets

August 2026publication date
Proposal available till 30-05-2025
4 total number of authors per manuscript5010 $

The title of the journal is available only for the authors who have already paid for
Journal’s subject area:
Finance;
Economics and Econometrics;
Places in the authors’ list:
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Abstract:
We demonstrate a new powerful predictive signal for cryptocurrency returns: the last days return. Based on daily prices of more than 3600 coins, we document that the cryptocurrencies with low last days return significantly outperform their counterparts with high last days return. The effect is confirmed by a battery of cross-sectional tests and portfolio sorts, and is not subsumed by a broad range of other return predictors. Our findings help to reconcile earlier conflicting evidence on return persistence in cryptocurrency markets.
Keywords:
Asset pricing; Cryptocurrencies; Liquidity; Momentum; Return predictability; Short-term reversal; Size; The cross-section of returns

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