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Financial Innovation

Table 2 Returns and alphas on portfolios of cryptocurrencies sorted by MAX

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

Decile

VW portfolios

EW portfolios

 

Average Return

Alpha

Average Return

Alpha

Average MAX

Low MAX

− 0.009

− 0.009

0.006

0.003

0.056

2

− 0.007

− 0.008

0.016

0.016

0.083

3

− 0.007

− 0.008

0.012

0.013

0.099

4

− 0.007

− 0.008

0.013

0.011

0.126

5

0.002

0.001

0.024

0.021

0.132

6

0.000

0.000

0.016

0.015

0.169

7

0.010

0.008

0.017

0.013

0.200

8

0.007

0.007

0.027

0.024

0.241

9

0.020

0.014

0.022

0.021

0.317

High MAX

0.021

0.011

0.031

0.027

0.555

10-1 difference

0.030

0.020

0.025

0.024

 
 

(4.102)***

(3.724)***

(3.217)***

(3.342)***

 
  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) and equal-weighted (EW) average weekly returns, three-factor alphas on the value-weighted and equal weighted portfolios, and average maximum daily returns of cryptocurrencies within the past month. 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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