{"id":"https://openalex.org/W4388457228","doi":"https://doi.org/10.1080/14697688.2023.2269999","title":"Cryptocurrency factor momentum","display_name":"Cryptocurrency factor momentum","publication_year":2023,"publication_date":"2023-11-07","ids":{"openalex":"https://openalex.org/W4388457228","doi":"https://doi.org/10.1080/14697688.2023.2269999"},"language":"en","primary_location":{"id":"doi:10.1080/14697688.2023.2269999","is_oa":false,"landing_page_url":"https://doi.org/10.1080/14697688.2023.2269999","pdf_url":null,"source":{"id":"https://openalex.org/S182689569","display_name":"Quantitative Finance","issn_l":"1469-7688","issn":["1469-7688","1469-7696"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320547","host_organization_name":"Taylor & Francis","host_organization_lineage":["https://openalex.org/P4310320547"],"host_organization_lineage_names":["Taylor & Francis"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Quantitative Finance","raw_type":"journal-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5044108899","display_name":"Christian Fieberg","orcid":"https://orcid.org/0000-0001-7148-2092"},"institutions":[{"id":"https://openalex.org/I166433441","display_name":"Hochschule Bremen","ror":"https://ror.org/04f7jc139","country_code":"DE","type":"education","lineage":["https://openalex.org/I166433441"]},{"id":"https://openalex.org/I186903577","display_name":"University of Luxembourg","ror":"https://ror.org/036x5ad56","country_code":"LU","type":"education","lineage":["https://openalex.org/I186903577"]},{"id":"https://openalex.org/I60158472","display_name":"Concordia University","ror":"https://ror.org/0420zvk78","country_code":"CA","type":"education","lineage":["https://openalex.org/I60158472"]}],"countries":["CA","DE","LU"],"is_corresponding":false,"raw_author_name":"Christian Fieberg","raw_affiliation_strings":["Department of Economics and Management, University of Luxembourg, Luxembourg, Luxembourg","Department of Finance, Concordia University, Montreal, Canada","School of International Business, City University of Applied Sciences, Bremen, Germany"],"raw_orcid":"https://orcid.org/0000-0001-7148-2092","affiliations":[{"raw_affiliation_string":"Department of Economics and Management, University of Luxembourg, Luxembourg, Luxembourg","institution_ids":["https://openalex.org/I186903577"]},{"raw_affiliation_string":"Department of Finance, Concordia University, Montreal, Canada","institution_ids":["https://openalex.org/I60158472"]},{"raw_affiliation_string":"School of International Business, City University of Applied Sciences, Bremen, Germany","institution_ids":["https://openalex.org/I166433441"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5093214918","display_name":"Gerrit Liedtke","orcid":"https://orcid.org/0009-0008-5385-8963"},"institutions":[{"id":"https://openalex.org/I180437899","display_name":"University of Bremen","ror":"https://ror.org/04ers2y35","country_code":"DE","type":"education","lineage":["https://openalex.org/I180437899"]}],"countries":["DE"],"is_corresponding":false,"raw_author_name":"Gerrit Liedtke","raw_affiliation_strings":["Faculty of Business Studies and Economics, University of Bremen, Bremen, Germany"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Faculty of Business Studies and Economics, University of Bremen, Bremen, Germany","institution_ids":["https://openalex.org/I180437899"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5050567329","display_name":"Daniel Metko","orcid":null},"institutions":[{"id":"https://openalex.org/I180437899","display_name":"University of Bremen","ror":"https://ror.org/04ers2y35","country_code":"DE","type":"education","lineage":["https://openalex.org/I180437899"]}],"countries":["DE"],"is_corresponding":false,"raw_author_name":"Daniel Metko","raw_affiliation_strings":["Faculty of Business Studies and Economics, University of Bremen, Bremen, Germany"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Faculty of Business Studies and Economics, University of Bremen, Bremen, Germany","institution_ids":["https://openalex.org/I180437899"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5003712411","display_name":"Adam Zaremba","orcid":"https://orcid.org/0000-0001-5879-9431"},"institutions":[{"id":"https://openalex.org/I12379730","display_name":"Pozna\u0144 University of Economics and Business","ror":"https://ror.org/0532c1x92","country_code":"PL","type":"education","lineage":["https://openalex.org/I12379730"]},{"id":"https://openalex.org/I157614274","display_name":"University of Cape Town","ror":"https://ror.org/03p74gp79","country_code":"ZA","type":"education","lineage":["https://openalex.org/I157614274"]},{"id":"https://openalex.org/I4210131537","display_name":"Montpellier Business School","ror":"https://ror.org/037tw3m02","country_code":"FR","type":"education","lineage":["https://openalex.org/I4210131537"]}],"countries":["FR","PL","ZA"],"is_corresponding":true,"raw_author_name":"Adam Zaremba","raw_affiliation_strings":["Department of Finance and Tax, Faculty of Commerce, University of Cape Town, Cape Town, South Africa","Department of Investment and Financial Markets, Institute of Finance, Poznan University of Economics and Business, al. Niepodleg\u0142o\u015bci 10, Pozna\u0144, 61-875, Poland","Montpellier Business School, 2300 Avenue des Moulins, Montpellier, 34185, France"],"raw_orcid":"https://orcid.org/0000-0001-5879-9431","affiliations":[{"raw_affiliation_string":"Department of Finance and Tax, Faculty of Commerce, University of Cape Town, Cape Town, South Africa","institution_ids":["https://openalex.org/I157614274"]},{"raw_affiliation_string":"Department of Investment and Financial Markets, Institute of Finance, Poznan University of Economics and Business, al. Niepodleg\u0142o\u015bci 10, Pozna\u0144, 61-875, Poland","institution_ids":["https://openalex.org/I12379730"]},{"raw_affiliation_string":"Montpellier Business School, 2300 Avenue des Moulins, Montpellier, 34185, France","institution_ids":["https://openalex.org/I4210131537"]}]}],"institutions":[],"countries_distinct_count":6,"institutions_distinct_count":4,"corresponding_author_ids":["https://openalex.org/A5003712411"],"corresponding_institution_ids":["https://openalex.org/I12379730","https://openalex.org/I157614274","https://openalex.org/I4210131537"],"apc_list":null,"apc_paid":null,"fwci":2.7077,"has_fulltext":false,"cited_by_count":10,"citation_normalized_percentile":{"value":0.90883372,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":90,"max":99},"biblio":{"volume":"23","issue":"12","first_page":"1853","last_page":"1869"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.9998000264167786,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.9998000264167786,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10270","display_name":"Blockchain Technology Applications and Security","score":0.9965000152587891,"subfield":{"id":"https://openalex.org/subfields/1710","display_name":"Information Systems"},"field":{"id":"https://openalex.org/fields/17","display_name":"Computer Science"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}},{"id":"https://openalex.org/T11270","display_name":"Complex Systems and Time Series Analysis","score":0.9951000213623047,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/cryptocurrency","display_name":"Cryptocurrency","score":0.8194061517715454},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.6895936727523804},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.686970591545105},{"id":"https://openalex.org/keywords/volatility","display_name":"Volatility (finance)","score":0.5874441862106323},{"id":"https://openalex.org/keywords/financial-economics","display_name":"Financial economics","score":0.5712109804153442},{"id":"https://openalex.org/keywords/stock","display_name":"Stock (firearms)","score":0.5379754900932312},{"id":"https://openalex.org/keywords/factor-analysis","display_name":"Factor analysis","score":0.5337570309638977},{"id":"https://openalex.org/keywords/momentum","display_name":"Momentum (technical analysis)","score":0.5103315711021423},{"id":"https://openalex.org/keywords/skewness","display_name":"Skewness","score":0.4706757962703705},{"id":"https://openalex.org/keywords/autocorrelation","display_name":"Autocorrelation","score":0.46328869462013245},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.19412824511528015},{"id":"https://openalex.org/keywords/statistics","display_name":"Statistics","score":0.18738317489624023},{"id":"https://openalex.org/keywords/geography","display_name":"Geography","score":0.15257388353347778},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.09423255920410156}],"concepts":[{"id":"https://openalex.org/C180706569","wikidata":"https://www.wikidata.org/wiki/Q13479982","display_name":"Cryptocurrency","level":2,"score":0.8194061517715454},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.6895936727523804},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.686970591545105},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.5874441862106323},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.5712109804153442},{"id":"https://openalex.org/C204036174","wikidata":"https://www.wikidata.org/wiki/Q909380","display_name":"Stock (firearms)","level":2,"score":0.5379754900932312},{"id":"https://openalex.org/C10879293","wikidata":"https://www.wikidata.org/wiki/Q726474","display_name":"Factor analysis","level":2,"score":0.5337570309638977},{"id":"https://openalex.org/C60718061","wikidata":"https://www.wikidata.org/wiki/Q1414747","display_name":"Momentum (technical analysis)","level":2,"score":0.5103315711021423},{"id":"https://openalex.org/C122342681","wikidata":"https://www.wikidata.org/wiki/Q330828","display_name":"Skewness","level":2,"score":0.4706757962703705},{"id":"https://openalex.org/C5297727","wikidata":"https://www.wikidata.org/wiki/Q786970","display_name":"Autocorrelation","level":2,"score":0.46328869462013245},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.19412824511528015},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.18738317489624023},{"id":"https://openalex.org/C205649164","wikidata":"https://www.wikidata.org/wiki/Q1071","display_name":"Geography","level":0,"score":0.15257388353347778},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.09423255920410156},{"id":"https://openalex.org/C38652104","wikidata":"https://www.wikidata.org/wiki/Q3510521","display_name":"Computer security","level":1,"score":0.0},{"id":"https://openalex.org/C166957645","wikidata":"https://www.wikidata.org/wiki/Q23498","display_name":"Archaeology","level":1,"score":0.0}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.1080/14697688.2023.2269999","is_oa":false,"landing_page_url":"https://doi.org/10.1080/14697688.2023.2269999","pdf_url":null,"source":{"id":"https://openalex.org/S182689569","display_name":"Quantitative Finance","issn_l":"1469-7688","issn":["1469-7688","1469-7696"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320547","host_organization_name":"Taylor & Francis","host_organization_lineage":["https://openalex.org/P4310320547"],"host_organization_lineage_names":["Taylor & Francis"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Quantitative Finance","raw_type":"journal-article"},{"id":"pmh:oai:RePEc:taf:quantf:v:23:y:2023:i:12:p:1853-1869","is_oa":false,"landing_page_url":"http://hdl.handle.net/10.1080/14697688.2023.2269999","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"article"}],"best_oa_location":null,"sustainable_development_goals":[],"awards":[{"id":"https://openalex.org/G5876676458","display_name":null,"funder_award_id":"2021/41/B/HS4/02443","funder_id":"https://openalex.org/F4320322511","funder_display_name":"Narodowe Centrum Nauki"}],"funders":[{"id":"https://openalex.org/F4320322511","display_name":"Narodowe Centrum Nauki","ror":"https://ror.org/03ha2q922"}],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":62,"referenced_works":["https://openalex.org/W1973337993","https://openalex.org/W2019810426","https://openalex.org/W2047171075","https://openalex.org/W2104795328","https://openalex.org/W2113208252","https://openalex.org/W2116347131","https://openalex.org/W2117178635","https://openalex.org/W2118172567","https://openalex.org/W2125520394","https://openalex.org/W2182051792","https://openalex.org/W2196996750","https://openalex.org/W2320868325","https://openalex.org/W2567788554","https://openalex.org/W2801951207","https://openalex.org/W2930793690","https://openalex.org/W2965815284","https://openalex.org/W2970972678","https://openalex.org/W2978236304","https://openalex.org/W2991654506","https://openalex.org/W2998238711","https://openalex.org/W3121401171","https://openalex.org/W3121764760","https://openalex.org/W3121843475","https://openalex.org/W3122187992","https://openalex.org/W3122404646","https://openalex.org/W3122526219","https://openalex.org/W3123842350","https://openalex.org/W3123899576","https://openalex.org/W3124639629","https://openalex.org/W3125139270","https://openalex.org/W3128785084","https://openalex.org/W3131621821","https://openalex.org/W3152518014","https://openalex.org/W3162669818","https://openalex.org/W3173550035","https://openalex.org/W3177686480","https://openalex.org/W3199228172","https://openalex.org/W3204386317","https://openalex.org/W3214596278","https://openalex.org/W4206295873","https://openalex.org/W4206477946","https://openalex.org/W4206558009","https://openalex.org/W4211134865","https://openalex.org/W4211240942","https://openalex.org/W4214775563","https://openalex.org/W4224943815","https://openalex.org/W4226129903","https://openalex.org/W4281550587","https://openalex.org/W4281928123","https://openalex.org/W4283835473","https://openalex.org/W4285143324","https://openalex.org/W4287888024","https://openalex.org/W4306812373","https://openalex.org/W4313006410","https://openalex.org/W4316494609","https://openalex.org/W4318613109","https://openalex.org/W4365794177","https://openalex.org/W4378176082","https://openalex.org/W4383652646","https://openalex.org/W6803193452","https://openalex.org/W6806185899","https://openalex.org/W6839824474"],"related_works":["https://openalex.org/W4366411693","https://openalex.org/W3211641817","https://openalex.org/W3164717803","https://openalex.org/W4389915954","https://openalex.org/W3123387860","https://openalex.org/W3109867883","https://openalex.org/W4291291739","https://openalex.org/W4321377877","https://openalex.org/W2915579847","https://openalex.org/W2907143025"],"abstract_inverted_index":{"Is":[0],"there":[1],"a":[2,36],"momentum":[3,89],"effect":[4,48],"in":[5,28,39,69,85],"cryptocurrency":[6,32,87],"anomalies?":[7],"To":[8],"answer":[9],"this,":[10],"we":[11],"analyze":[12],"data":[13],"from":[14,78,91],"over":[15],"3900":[16],"coins":[17],"spanning":[18],"the":[19,29,67,98],"years":[20],"2014":[21],"to":[22,97],"2022":[23],"and":[24,56,75,80],"replicate":[25],"34":[26],"anomalies":[27],"cross-section":[30],"of":[31,61],"returns.":[33],"We":[34],"document":[35],"discernible":[37],"pattern":[38],"factor":[40,70,88,99],"premia:":[41],"past":[42],"winners":[43],"consistently":[44],"outperform":[45],"losers.":[46],"The":[47],"persists":[49],"across":[50],"subperiods,":[51],"withstands":[52],"various":[53],"methodological":[54],"approaches,":[55],"its":[57,62],"magnitude":[58],"parallels":[59],"that":[60],"stock":[63],"market":[64],"counterpart.":[65],"However,":[66],"autocorrelation":[68],"returns":[71],"is":[72],"not":[73],"widespread":[74],"primarily":[76],"stems":[77],"size":[79],"volatility":[81],"anomalies.":[82],"Additionally,":[83],"unlike":[84],"stocks,":[86],"originates":[90],"price":[92],"momentum,":[93],"which":[94],"subsequently":[95],"transfers":[96],"level.":[100]},"counts_by_year":[{"year":2026,"cited_by_count":2},{"year":2025,"cited_by_count":3},{"year":2024,"cited_by_count":4},{"year":2023,"cited_by_count":1}],"updated_date":"2026-06-15T08:34:33.830935","created_date":"2025-10-10T00:00:00"}
