Tom Burdorf
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Burdorf
First name
Tom
Email
tom.burdorf2@unisg.ch
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+41 71 224 70 05

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  • Publication
    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
  • Publication
    Recovering from Shocks: Term Structure Signalling in Commodity Markets *
    ( 2023-09-20)
    Adams, Zeno
    ;
    Burdorf, Tom
    ;
    Käfer, Niclas
    We examine the behaviour of commodity term structures following economic shocks. The response of the futures curve in the near term, relative to the front-month future, reflects market expectations about the type, magnitude, and persistence of a shock. These market expectations have predictive power for the recovery time after a shock. Our findings challenge the current view that term structures in commodity markets cannot contain market expectations due to arbitrage forces of the carry trade.
    Type: working paper
    URI: https://www.alexandria.unisg.ch/handle/20.500.14171/118165