Performance Persistence. Evidence from the Cryptocurrencies Industry
This article examines a sample of four cryptocurrencies from the period 2014 to 2022. Performance persistence in the investment literature was a major area of investigation for academics, investors and practitioners for more than 3 decades. This is the first study that examines performance persistence of Bitcoin, Tether, Ethereum and Shiba. This article provides a detailed analysis of performance persistence using daily data from coinmarketcap. The website is www.coinmarketcap.com. Based on my regression results, three out of the four cryptocurrencies display alpha that is positive and statistically significant at the 5% significance level. A positive and significant alpha indicates skilled investor whose decisions add value to the fund. Their ability to outperform the benchmark index is based on skill and not luck. The results of performance persistence are mixed for both winners and losers by using contingency tables. Among the winners that continued to be winners in the consecutive year are Bitcoin and Ethereum. A mixed picture of winners – loses, WL, and losers – winners, LW, are revealed for Shiba and Tether. We found strong evidence of performance persistence in the cryptocurrency market over the nine-year period. Thus, investors that invested for long-term in the cryptocurrency market have earned high returns. The only period that returns have fallen is during the recent COVID-19 pandemic that has created a recessionary market environment for the cryptocurrencies and the general stock market. The findings are interesting to academics, investors and practitioners in terms whether there is performance persistence and for how long
Year of publication: |
2022
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Authors: | Guirguis, Michel ; Papasavvas, Michael |
Publisher: |
[S.l.] : SSRN |
Saved in:
freely available
Extent: | 1 Online-Ressource (22 p) |
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Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments August 4, 2022 erstellt |
Other identifiers: | 10.2139/ssrn.4180532 [DOI] |
Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013492589
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