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

Financial Innovation

Table 6 Summary statistics for decile portfolios of stocks sorted by MAX

Decile	MAX	BETA	SIZE $(\$10^6)$	PRICE ($)	MOM	REV	ILLIQ (10$^{-5}$)	VOL
Low MAX	0.054	0.693	426.752	0.982	− 0.030	− 0.019	0.027	0.376
2	0.083	0.871	354.295	0.762	− 0.036	− 0.015	0.033	0.546
3	0.100	0.868	150.015	0.558	− 0.021	− 0.014	0.042	0.605
4	0.126	0.908	251.399	0.668	− 0.011	− 0.006	0.066	0.680
5	0.132	0.801	129.025	0.427	0.022	0.000	0.061	0.657
6	0.169	0.905	174.171	0.518	0.025	0.009	0.070	0.776
7	0.199	0.916	135.694	0.532	0.059	0.012	0.088	0.852
8	0.241	0.889	27.440	0.367	0.076	0.021	0.078	0.896
9	0.314	0.839	35.708	0.313	0.128	0.042	0.129	0.961
High MAX	0.596	0.942	21.916	0.350	0.245	0.077	0.285	1.389

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 averages of weekly median values of each decile for various characteristics of cryptocurrencies – the maximum daily return (MAX), the cryptocurrency market beta, the market capitalization (in millions of dollars), the price (in dollars), the cumulative return over the previous three weeks prior to the week before (MOM), the cumulative return over the past week (REV), the Amihud illiquidity measure (scaled by 10$^{-5}$), and the Garman–Klass volatility measure