We demonstrate a new powerful predictive signal for cryptocurrency returns: the last day's return. Based on daily prices of more than 3600 coins, we document that the cryptocurrencies with low last day's return significantly outperform their counterparts with high last day's return. The effect is confirmed by a battery of cross-sectional tests and portfolio sorts, and is not subsumed by a broad range of other return predictors. We argue that the daily reversals result from the illiquidity of the vast majority of traded cryptocurrencies. In consequence, the pattern is cross-sectionally dependent on liquidity, and the handful of largest and most tradeable coins exhibit daily momentum rather than a reversal. Our findings help to reconcile earlier conflicting evidence on return persistence in cryptocurrency markets.

我们展示了一个新的强大的加密货币回报预测信号：最后一天的回报。根据 3600 多个硬币的每日价格，我们记录了最后一天回报率低的加密货币的表现明显优于前一天回报率高的加密货币。一系列横截面测试和投资组合类型证实了这种影响，并且没有包含在广泛的其他回报预测​​变量中。我们认为，每天的逆转是由于绝大多数交易的加密货币的流动性不足造成的。因此，该模式在横截面上取决于流动性，少数最大和最易交易的代币表现出每日势头而不是逆转。我们的发现有助于协调早期关于加密货币市场回报持久性的相互矛盾的证据。