Luca Liebi

Former Member

Title

M.A.

Last Name

Liebi

First name

Luca

Email

luca.liebi@unisg.ch

Phone

+41 71 224 70 15

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Survivorship and Delisting Bias in Cryptocurrency Markets

( 2022-11-28)
Ammann, Manuel
;
Burdorf, Tom
;
Liebi, Luca
;
Stöckl, Sebastian

This study quantifies performance measure distortions in a cryptocurrency sample truncated by survivorship and delisting bias. Previous research shows that the attrition rate in cryptocurrency markets is high. However, the survivorship and delisting bias in cryptocurrencies lacks empirical research. Using data for 3’904 cryptocurrencies during the 2014-2021 period, we estimate an annualized bias of 0.93% (62.19%) for value-weighted (equal-weighted) portfolios. After controlling for survivorship and delisting bias, we revisit the relationship between average returns, size, past performance, market β, liquidity, and downside risk. Our results confirm the size effect, but the premium is overestimated by 50% in a survival-conditioned sample. In contrast, we find no evidence of a positive relationship between average returns, one-week momentum, market β, and downside risk. Our results suggest that the survivorship and delisting bias are important biases that ought to be omitted.

Type: journal article

URI: https://www.alexandria.unisg.ch/handle/20.500.14171/108037