Decile | TSKEW | ISKEW |
---|
Low MAX | 0.008 | 0.009 |
2 | 0.012 | 0.012 |
3 | 0.012 | 0.010 |
4 | 0.013 | 0.015 |
5 | 0.009 | 0.009 |
6 | 0.017 | 0.012 |
7 | 0.013 | 0.009 |
8 | 0.012 | 0.012 |
9 | 0.011 | 0.012 |
High MAX | 0.038 | 0.035 |
Return difference | 0.029 | 0.027 |
 | (8.064)*** | (7.375)*** |
Alpha difference | 0.027 | 0.024 |
 | (6.413)*** | (6.102)*** |
- Decile portfolios are formed every week from January 2014 to September 2020 by sorting cryptocurrencies based on the maximum daily returns after controlling for total (TSKEW) and idiosyncratic (ISKEW). In each column, we first rank cryptocurrencies based on the skewness variable (TSKEW and ISKEW), then within each decile, we sort cryptocurrencies into decile portfolios of MAX. Decile 1 (10) is the portfolio of cryptocurrencies with the lowest (highest) maximum daily return over the previous month. Table presents the value-weighted (VW) average weekly returns. The bottom two rows report the differences in weekly returns and the differences in three-factor alphas between portfolios 10 and 1, and the corresponding t-statistics. Newey-West (1987) adjusted t-statistics are presented in parentheses
- ***, ** and * denote significance at 1%, 5% and 10%, respectively