Cryptocurrency factor momentum
研究了加密货币异常现象中是否存在动量效应，基于3900多种加密货币2014至2022年的数据，复制了34个异常现象，发现过去赢家持续跑输输家，且该效应与股票市场相当。
Is there a momentum effect in cryptocurrency anomalies? To answer this, we analyze data from over 3900 coins spanning the years 2014 to 2022 and replicate 34 anomalies in the cross-section of cryptocurrency returns. We document a discernible pattern in factor premia: past winners consistently outperform losers. The effect persists across subperiods, withstands various methodological approaches, and its magnitude parallels that of its stock market counterpart. However, the autocorrelation in factor returns is not widespread and primarily stems from size and volatility anomalies. Additionally, unlike in stocks, cryptocurrency factor momentum originates from price momentum, which subsequently transfers to the factor level.