… of 200 cryptocurrencies over the period from 2015 to 2019, we document a significant return
reversal … Moreover, the reversal effect persists during both halves of our sample period and …

… predictive signal for cryptocurrency returns: the last day's return. Based on … cryptocurrencies
with low last day's return significantly outperform their counterparts with high last day's return. …

… and reversal strategies, with sorting and holding periods from 1 week up to 2 years. In a
sample of 2,000 biggest cryptocurrencies … reversal on longer horizons beyond 1 month. The …

… Firstly, we show that the intraday return predictability exists in the cryptocurrency market,
which complements previous studies that restrict their analysis to standardized financial …

… reversals and investor attention affect cryptocurrency returns before and during the pandemic.
In addition, we explore the impacts of investors’ attention and reversals on crypto returns …

… returns. We also find small cryptocurrencies tend to have higher returns than big ones, with
momentum returns positively associated with smaller size. Hence, we construct our three-…

… expected returns (see, eg, Hendershott and Seasholes, 2007). Given the extreme cross-sectional
variation in cryptocurrency returns, we extend a conventional short-term reversal …

… This paper examines price behaviour in the cryptocurrency market after one-day abnormal
price changes (overreactions). Using data on the cryptocurrency markets that are most liquid …

… of cryptocurrencies. We observe that our reversal portfolios generate higher returns than
conventional cross-sectional mo- 150 mentum and reversal portfolios. Moreover, our method …

… , reversal, and both market and downside risks represent the main driving factors behind
expected returns. … For this reason, we include the reversal factor alongside the FF5 factors to …