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Yi, Li; Liu, Zilan; Lei, He; Qin, Zilong; Gan, Shunli - In: Pacific-Basin finance journal 47 (2018), pp. 1-19

Persistent link: https://www.econbiz.de/10012028001

False discoveries in style timing of Chinese mutual funds

Yi, Li; Lei, He - In: Pacific-Basin finance journal 38 (2016), pp. 194-208

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MAX momentum in cryptocurrency markets

Li, Yi; Urquhart, Andrew; Wang, Pengfei; Zhang, Wei - In: International review of financial analysis 77 (2021), pp. 1-16

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Is idiosyncratic volatility priced in cryptocurrency markets?

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Bond intraday momentum

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Liquidity risk and expected cryptocurrency returns

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Downside risk and the cross-section of cryptocurrency returns

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Optimal portfolio liquidation with cross-price impacts on trading

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MAX Momentum in Cryptocurrency Markets

Li, Yi; Urquhart, Andrew; Wang, Pengfei; Zhang, Wei - 2021

This paper studies the MAX effect, the relationship between maximum daily returns and future returns in the cryptocurrency market. The cryptocurrency market is an ideal setting for the MAX effect, due to its lottery-like features (i.e., large positive skewness). Contrary to findings in other...

Persistent link: https://www.econbiz.de/10013228841