Journal of Financial and Quantitative Analysis Vol. 60 No. 7 2025

A Trend Factor for the Cross Section of Cryptocurrency Returns

Christian Fieberg^1,2,3; Gerrit Liedtke⁴; Thorsten Poddig⁴; Thomas Walker^2,5; Adam Zaremba^6,7,8

¹ HSB University of Applied Sciences Bremen, City University of Applied Sciences · ² Concordia University · ³ University of Luxembourg · ⁴ University of Bremen, Faculty of Business Studies and Economics · ⁵ Corvinus Institute for Advanced Studies, Corvinus University of Budapest · ⁶ MBS School of Business · ⁷ Poznań University of Economics and Business · ⁸ Monash University, Monash Centre for Financial Studies

Abstract

We propose CTREND, a new trend factor for cryptocurrency returns, which aggregates price and volume information across different time horizons. Using data on more than 3,000 coins, we employ machine learning methods to exploit information from various technical indicators. The resulting signal reliably predicts cryptocurrency returns. The effect cannot be subsumed by known factors and remains robust across different subperiods, market states, and alternative research designs. Moreover, it survives the impact of transaction costs and persists in big and liquid coins. Finally, an asset pricing model that incorporates CTREND outperforms competing factor models, providing a superior explanation of cryptocurrency returns.

DOI

10.1017/s0022109024000747

Volume

60

Issue

7

Pages

3116-3153

Language

en

Sources

openalex crossref

Cite

APA 7 MLA 9 Chicago (author–date) Harvard Elsevier Harvard (JFE, JBF…) The Accounting Review Academy of Management American Marketing Association INFORMS (Management Science) Copy citation Copied ✓