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Articles 61 - 63 of 63
Full-Text Articles in Finance and Financial Management
Returns To Buying Winners And Selling Losers: A Look At Cryptocurrencies, Daniel Walker
Returns To Buying Winners And Selling Losers: A Look At Cryptocurrencies, Daniel Walker
CMC Senior Theses
This paper is, to my knowledge, one of the first ever to examine the effectiveness of price momentum trading strategies applied to cryptocurrencies. Using aggregate OHLCV (Open, High, Low, Close, Volume) data on cryptocurrency pairs from Poloniex, Bittrex, and Bitfinex, I apply Jegadeesh and Titman’s classic -month/-month momentum trading strategy, reporting annual returns with and without incorporating trading fees. Portfolios are resampled daily, weekly, and monthly, testing lookback and holding periods ranging from one day to one year. The results show that trading cryptocurrencies using momentum strategies derives returns that rapidly increase the more often portfolios are resampled, with the …
Flight To Quality In Cryptocurrencies, Scott Brockelbank Jr.
Flight To Quality In Cryptocurrencies, Scott Brockelbank Jr.
Honors Theses and Capstones
The topic of cryptocurrencies has been on the forefront of investors’ minds as they have seen ridiculous returns from the volatile swings in price. Its value highly debated because the asset is not backed by a hard asset. If we look back at the beginning of our country, we see how each state had its own currency and the difficulties that users faced around who would accept that as legal tender. The birth of a federal currency was accepted because it served as a medium of exchange and was backed by gold through the U.S. government. The final evolution of …
The Efects Of Cryptocurrency Wealth On Household Consumption And Investment, Darren Aiello, Scott R. Baker, Tetyana Balyuk, Marco Di Maggio, Mark J. Johnson, Jason Kotter
The Efects Of Cryptocurrency Wealth On Household Consumption And Investment, Darren Aiello, Scott R. Baker, Tetyana Balyuk, Marco Di Maggio, Mark J. Johnson, Jason Kotter
Faculty Publications
This paper uses transaction-level bank and credit card data to identify cryptocurrency investors and assess the impact of crypto wealth fuctuations on household consumption, as well as on investments in other assets. We fnd an $0.09 MPC from crypto gains, exceeding most previous estimates from unrealized equity gains. However, crypto investors are mostly also active equity investors, with many similar consumption patterns across gains from both asset classes. Households sell cryptocurrencies to increase discretionary and housing expenditures, with the latter causing local house price appreciation.