This study explores the short-term momentum effect in the cryptocurrency market. Utilising a comprehensive cryptocurrency dataset and the portfolio construction methods of Fama and French (J Financ Econ 33:3–56, 1993) and Carhart (J Finance 52:57–82, 1997), we construct cryptocurrency portfolios and examine their performance. The main findings are: (1) the cryptocurrency market portfolio significantly outperforms major stock markets globally in terms of risk-adjusted return; (2) from an asset pricing perspective, short-term momentum effects are significantly priced in the cryptocurrency market, while size effects are controlled, suggesting that the short-term momentum effect explains variations in the returns of cryptocurrency portfolios; and (3) the portfolios constructed according to the short-term momentum effect do not outperform the cryptocurrency market portfolio.

中文翻译：

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探索加密货币市场的短期动量效应

这项研究探索了加密货币市场中的短期动量效应。利用Fama和French（J Financ Econ 33：3–56，1993）和Carhart（J Finance 52：57–82，1997）的综合加密货币数据集和投资组合构建方法，我们构建加密货币投资组合并检查其性能。主要发现是：（1）就风险调整后的收益而言，加密货币市场投资组合的表现明显优于全球主要股票市场；（2）从资产定价的角度来看，短期动量效应在加密货币市场中定价很高，而大小效应得到控制，这表明短期动量效应解释了加密货币投资组合收益的变化；