Does size matter in the cryptocurrency market?

【Author】 Li, Yi; Zhang, Wei; Xiong, Xiong; Wang, Pengfei

【Source】APPLIED ECONOMICS LETTERS

【影响因子】1.287

【Abstract】This paper examines the size effect in the cryptocurrency market with a sample of more than 1800 cryptocurrencies over the period from January 2014 to May 2019. We find that cryptocurrencies with small market value tend to perform better in the future, which challenges the Efficient Market Hypothesis. The size effect is stable over the sample period and robust to the sample size. The prior returns and liquidity also have an impact on the size effect. In addition, our findings provide practical implications for cryptocurrency investors.

【Keywords】Size effect; cryptocurrency; asset pricing; liquidity; anomalies

【发表时间】2019 15-Aug

【收录时间】2022-01-02

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