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| Type | Working Paper |
| Scope | Discipline-based scholarship |
| Title | Behavioral Anomalies in Cryptocurrency Markets |
| Organization Unit | |
| Authors |
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| Language |
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| Institution | University of Zurich |
| Series Name | SSRN |
| Number | 3174421 |
| ISSN | 1556-5068 |
| Number of Pages | 35 |
| Date | 2023 |
| Abstract Text | If behavioral biases explain asset pricing anomalies, they should also materialize in cryptocurrency markets. I test more than 20 stock return anomalies based on daily cryptocurrency data, and document strong evidence of price momentum. Controlling for market and size, price momentum remains statistically significant, whereas price reversal and risk-based anomalies are weak. Cryptocurrency anomalies can be explained by behavioral theories that emphasize noise trader risks than fundamental risks. |
| Free access at | DOI |
| Digital Object Identifier | 10.2139/ssrn.3174421 |
| Other Identification Number | merlin-id:20868 |
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