Beschreibung:
We document that the salience theory of choice under risk provides a good explanation for the cross-sectional cryptocurrency returns. Investors overweigh salience payoffs, payoffs that stand out from the average of the alternatives. This leads to overpricing (underpricing) the cryptocurrencies with upward (downward) salience returns and generating negative (positive) expected returns in the subsequent period. The salience effect in the cryptocurrency market is over 20 times stronger than those observed in the equity markets. It is different from existing return anomalies documented in the cryptocurrency market and is a strong contender for a risk factor that can explain other cross-sectional strategy returns in the cryptocurrency market