Behavioral Anomalies in Cryptocurrency Markets
35 Pages Posted: 21 May 2018 Last revised: 30 Sep 2020
Date Written: June 5, 2019
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.
Keywords: Cryptocurrencies, behavioral anomalies, momentum
JEL Classification: G11, G12, G41
Suggested Citation: Suggested Citation