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Table 7 Returns on portfolios of cryptocurrencies sorted by MAX after controlling for SIZE, PRICE, MOM, REV, and ILLIQ

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)***

  1. Decile portfolios are formed every week from January 2014 to September 2020 by sorting cryptocurrencies based on the maximum daily returns after controlling for size, price, momentum, short-term reversal, and illiquidity. In each column, we first rank cryptocurrencies based on the control variable, then within each decile, we sort cryptocurrencies into decile portfolios of MAX. 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) (in Panel A) and equal-weighted (EW) (in Panel B) average weekly returns. The bottom two rows report the differences in weekly returns and the differences in three-factor 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