Persistence and Market Timing Ability of Cryptocurrency Funds
研究了加密货币基金的业绩持续性和基金经理的市场择时能力，发现基金能产生显著的超额收益，且历史表现好的基金未来表现也更好，市场择时能力能带来后续超额收益。
ABSTRACT Growth in cryptocurrency funds has followed the wider expansion of the cryptocurrency sector. In this paper, we study the performance persistence and market timing ability of cryptocurrency fund managers. We show that cryptocurrency funds produce remarkable levels of abnormal returns. Moreover, sorting by previous alpha provides compelling evidence of persistence in abnormal returns. Funds with previous excess abnormal returns have high ex post abnormal returns, while cryptocurrency factors explain only a small proportion of the variation in these returns. An ex post outperformance among funds displaying ex ante market timing skills is found, while these ex post abnormal returns can, in turn, be attributed to managerial timing abilities.