On the performance of cryptocurrency funds

Bianchi, Daniele and Babiak, Mykola (2022) On the performance of cryptocurrency funds. Journal of Banking and Finance, 138: 106467. ISSN 0378-4266

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Abstract

We investigate the performance of funds that specialise in cryptocurrency markets. In doing so, we contribute to a growing literature that aims to understand the value of digital assets as investments. The main empirical results support the argument that cryptocurrency funds generate significantly positive alphas compared to passive benchmarks or conventional risk factors. To understand whether the fund managers have sufficient skills to more than cover their costs, we compare the actual fund alphas against the simulated values from a panel semi-parametric bootstrap approach. The analysis shows that the extreme outperformance is unlikely to be explained by the luck of fund managers. However, the significance of the alphas becomes statistically weaker after considering the cross-sectional correlation in fund returns.

Item Type:

Journal Article

Journal or Publication Title:

Journal of Banking and Finance

Additional Information:

This is the author’s version of a work that was accepted for publication in Journal of Banking and Finance. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in Journal of Banking and Finance, 138, 2022 DOI: 10.1016/j.jbankfin.2022.106467

Uncontrolled Keywords:

/dk/atira/pure/subjectarea/asjc/2000/2003

Subjects:

?? cryptocurrency marketsalternative investmentsfund managementbootstrap methodsfinanceeconomics and econometrics ??

Departments:

Lancaster University Management School > Accounting & Finance

ID Code:

169953

Deposited By:

ep_importer_pure

Deposited On:

10 May 2022 14:20

Refereed?:

Yes

Published?:

Published

Last Modified:

08 Aug 2024 00:51

URI:

https://eprints.lancs.ac.uk/id/eprint/169953