Higher moments, extreme returns, and cross-section of cryptocurrency returns *

【Author】 Jia, Yuecheng; Liu, Yuzheng; Yan, Shu

【Source】FINANCE RESEARCH LETTERS

【影响因子】9.848

【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

【发表时间】2021 MAR

【收录时间】2022-01-02

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