Non-standard errors in the cryptocurrency world

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Authors
Fieberg, Christian
Günther, Steffen
Poddig, Thorsten
Zaremba, Adam ORCID logo 0000-0001-5879-9431
Date
2024-02-13
Journal Title
Journal ISSN
Volume Title
Publisher
Elsevier
License
Creative Commons License
Creative Commons Attribution 4.0 International License
Abstract
Motivated by recent findings from the equity market, we investigate non-standard errors in cryptocurrency research. We examine ten prevalent decisions related to data sources, sample preparation, and portfolio construction, generating 20,736 research designs for 43 sorting variables. Our findings reveal remarkable variation in portfolio performance tied to seemingly trivial choices. The non-standard errors in cryptocurrency studies not only surpass those in the stock market but also clearly exceed standard errors—though varying considerably across coin characteristics. Notwithstanding the above, the most prominent cryptocurrency factors, such as size and momentum, remain consistently robust across numerous specifications. Lastly, we find that reducing the influence of the smallest coins effectively decreases the non-standard errors.
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Keywords
cryptocurrency markets    non-standard errors    portfolio sorts    data mining    p-hacking    risk factors    anomalies    asset pricing models    factor investing    portfolio construction
Citation
Fieberg, C., Günther, S., Poddig, T., & Zaremba, A. (2024). Non-standard errors in the cryptocurrency world. International Review of Financial Analysis, 92, 103106. https://doi.org/10.1016/j.irfa.2024.103106
URI
https://open.icm.edu.pl/handle/123456789/25541
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Artykuły / Articles