Up or down? Short-term reversal, momentum, and liquidity effects in cryptocurrency markets
研究发现加密货币日收益率存在反转效应：前一日跌幅大的币种次日表现优于涨幅大的币种，且该效应源于市场流动性不足，仅对流动性好的大币种才呈现动量特征。
We demonstrate a new powerful predictive signal for cryptocurrency returns: the last day's return. Based on daily prices of more than 3600 coins, we document that the cryptocurrencies with low last day's return significantly outperform their counterparts with high last day's 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. We argue that the daily reversals result from the illiquidity of the vast majority of traded cryptocurrencies. In consequence, the pattern is cross-sectionally dependent on liquidity, and the handful of largest and most tradeable coins exhibit daily momentum rather than a reversal. Our findings help to reconcile earlier conflicting evidence on return persistence in cryptocurrency markets.