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Table 4 Cross-sectional predictability of MAX

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

MAX

BETA

SIZE

PRICE

MOM

REV

ILLIQ

VOL

R2 (%)

0.957

       

68.57

(90.128)***

        
 

0.413

      

11.37

 

(1.255)

       
  

− 0.012

     

8.22

  

(− 2.228)**

      
   

0.083

    

6.98

   

(3.915)***

     
    

0.084

   

11.11

    

(3.371)***

    
     

0.109

  

13.36

     

(2.218)**

   
      

1.540

 

15.62

      

(2.315)**

  
       

0.242

36.27

       

(5.953)***

 

1.339

0.377

− 0.025

0.034

− 0.097

0.731

1.277

0.087

75.47

(24.122)***

(0.907)

(− 1.014)

(1.106)

(− 0.818)

(1.179)

(0.201)

(1.586)

 
  1. Each week, we conduct a cryptocurrency-level cross-sectional regression of the MAX on lagged explanatory variables, which are lagged MAX, BETA, SIZE, PRICE, MOM, REV, ILLIQ and VOL. MAX refers to the maximum daily return within a month. BETA is the market beta calculated as the sum of coefficients on lag, current and lead returns on market portfolio. SIZE equals the natural logarithm of the cryptocurrency’s market capitalization by the end of previous week. PRICE is the natural logarithm of one plus the cryptocurrency’s price. MOM stands for momentum that equals the cumulative return over the previous three weeks skipping past week. REV stands for short-term reversal and equals the return in the past week. ILLIQ refers to Amihud illiquidity measure, which is calculated by the ratio of absolute daily cryptocurrency return to its mean dollar trading volume. VOL refers to Garman-Klass volatility measure, which takes into account the highest, lowest, opening and closing prices. Both dependent and independent variables are winsorized at 5% level from upper and lower tails. Table reports the time-series averages of the cross-sectional regression coefficients and corresponding t-statistics. Newey-West (1987) adjusted t-statistics are presented in parentheses
  2. ***, ** and * denote significance at 1%, 5% and 10%, respectively