From: Lottery-like preferences and the MAX effect in the cryptocurrency market
Decile | SIZE | PRICE | MOM | REV | ILLIQ |
---|---|---|---|---|---|
Panel A. Value-weighted portfolio returns | |||||
Low MAX | 0.010 | 0.009 | 0.007 | 0.010 | 0.010 |
2 | 0.018 | 0.014 | 0.016 | 0.012 | 0.017 |
3 | 0.013 | 0.013 | 0.014 | 0.010 | 0.012 |
4 | 0.016 | 0.014 | 0.010 | 0.014 | 0.011 |
5 | 0.012 | 0.010 | 0.011 | 0.013 | 0.010 |
6 | 0.021 | 0.016 | 0.016 | 0.016 | 0.019 |
7 | 0.020 | 0.014 | 0.013 | 0.012 | 0.014 |
8 | 0.018 | 0.013 | 0.016 | 0.013 | 0.015 |
9 | 0.016 | 0.010 | 0.011 | 0.010 | 0.008 |
High MAX | 0.038 | 0.027 | 0.024 | 0.025 | 0.028 |
Return difference | 0.027 | 0.017 | 0.017 | 0.015 | 0.018 |
 | (7.702)*** | (5.555)*** | (5.188)*** | (4.344)*** | (5.244)*** |
Alpha difference | 0.025 | 0.015 | 0.014 | 0.012 | 0.014 |
 | (2.713)*** | (2.859)*** | (5.246)*** | (3.743)*** | (2.867)*** |
Decile | SIZE | PRICE | MOM | REV | ILLIQ |
---|---|---|---|---|---|
Panel B. Equal-weighted portfolio returns | |||||
Low MAX | 0.007 | 0.009 | 0.007 | 0.009 | 0.009 |
2 | 0.015 | 0.013 | 0.014 | 0.011 | 0.014 |
3 | 0.010 | 0.013 | 0.012 | 0.010 | 0.010 |
4 | 0.012 | 0.013 | 0.009 | 0.013 | 0.011 |
5 | 0.009 | 0.009 | 0.009 | 0.012 | 0.009 |
6 | 0.016 | 0.014 | 0.014 | 0.015 | 0.016 |
7 | 0.015 | 0.013 | 0.012 | 0.011 | 0.011 |
8 | 0.012 | 0.011 | 0.015 | 0.011 | 0.013 |
9 | 0.009 | 0.009 | 0.010 | 0.008 | 0.006 |
High MAX | 0.028 | 0.027 | 0.025 | 0.026 | 0.025 |
Return difference | 0.021 | 0.018 | 0.018 | 0.017 | 0.016 |
 | (6.197)*** | (6.072)*** | (5.772)*** | (5.310)*** | (4.839)*** |
Alpha difference | 0.019 | 0.016 | 0.016 | 0.015 | 0.013 |
 | (2.043)** | (2.813)*** | (4.807)*** | (3.775)*** | (2.592)*** |