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Financial Innovation

Table 15 Returns on portfolios of cryptocurrencies sorted by MAX after controlling for investor sentiment

From: Lottery-like preferences and the MAX effect in the cryptocurrency market

Decile

Low sentiment

High sentiment

Low MAX

0.010

0.008

2

0.021

0.021

3

0.013

0.018

4

0.021

0.011

5

0.015

0.035

6

0.011

0.028

7

0.027

0.011

8

0.029

0.040

9

0.023

0.030

High MAX

0.038

0.041

Return difference

0.028

0.033

 

(3.157)***

(1.979)**

Alpha difference

0.025

0.030

 

(3.040)***

(2.438)***

  1. Decile portfolios are formed every week from January 2014 to September 2020 by ranking cryptocurrencies based on the maximum daily return (MAX) within the past month. 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 on low sentiment and high sentiment bins. The bottom two rows report the differences in weekly returns and the differences in alphas between portfolios 10 and 1, and the corresponding t-statistics. Newey-West (1987) adjusted t-statistics are presented in parentheses
  2. ***, ** and * denote significance at 1%, 5% and 10%, respectively
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