New behaviorally-based cross-sectional reversal portfolios in the cryptocurrency market and market uncertainty

IF 6.9 2区经济学 Q1 BUSINESS, FINANCE

Finance Research Letters Pub Date : 2025-06-27 DOI:10.1016/j.frl.2025.107800

Kei Nakagawa , Ryuta Sakemoto

引用次数: 0

Abstract

This study explores whether a behavioral approach can enhance the profitability of cross-sectional reversal strategy in the cryptocurrency market. Building on findings from stock and commodity futures markets, we propose a new decomposition method for reversal portfolios, in which the lowest price during the formation period serves as the anchoring point. We find that these reversal portfolios generate higher returns than conventional cross-sectional reversal portfolios. These results hold across different portfolio formation periods, suggesting the presence of heterogeneous investment horizons. Moreover, our cryptocurrency reversal portfolios act as hedges against increases in stock and gold market uncertainty. Finally, we observe that the profitability of the reversal portfolios remains robust when incorporating conservative transaction costs and including the COVID-19 pandemic period.

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加密货币市场和市场不确定性中新的基于行为的横截面反转投资组合

本研究探讨了行为方法是否可以提高加密货币市场横截面反转策略的盈利能力。基于股票和商品期货市场的研究结果，我们提出了一种新的反转组合分解方法，其中形成期间的最低价格作为锚定点。我们发现这些反转组合比传统的横截面反转组合产生更高的回报。这些结果适用于不同的投资组合形成时期，表明存在异质投资视野。此外，我们的加密货币逆转投资组合可以对冲股票和黄金市场不确定性的增加。最后，我们观察到，在纳入保守交易成本并包括COVID-19大流行期间时，逆转投资组合的盈利能力仍然强劲。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Finance Research Letters BUSINESS, FINANCE-

CiteScore

11.10

自引率

14.40%

发文量

863

期刊介绍： Finance Research Letters welcomes submissions across all areas of finance, aiming for rapid publication of significant new findings. The journal particularly encourages papers that provide insight into the replicability of established results, examine the cross-national applicability of previous findings, challenge existing methodologies, or demonstrate methodological contingencies. Papers are invited in the following areas: Actuarial studies Alternative investments Asset Pricing Bankruptcy and liquidation Banks and other Depository Institutions Behavioral and experimental finance Bibliometric and Scientometric studies of finance Capital budgeting and corporate investment Capital markets and accounting Capital structure and payout policy Commodities Contagion, crises and interdependence Corporate governance Credit and fixed income markets and instruments Derivatives Emerging markets Energy Finance and Energy Markets Financial Econometrics Financial History Financial intermediation and money markets Financial markets and marketplaces Financial Mathematics and Econophysics Financial Regulation and Law Forecasting Frontier market studies International Finance Market efficiency, event studies Mergers, acquisitions and the market for corporate control Micro Finance Institutions Microstructure Non-bank Financial Institutions Personal Finance Portfolio choice and investing Real estate finance and investing Risk SME, Family and Entrepreneurial Finance