Finance Research Seminar: Non-Standard Errors in the Cryptocurrency World
We would like to invite all enthusiasts and finance researchers to May 2023 Kozminski University Finance Research Seminar: "Non-Standard Errors in the Cryptocurrency World".
When? Wednesday, 24 May 2023, 5:15 PM (CET)
Where? D/218 on the KU campus or online - Microsoft Teams (MS Teams link will be sent following registration below)
Speaker: Adam Zaremba
Abstract: Motivated by recent findings from the equity market, we investigate non-standard errors in cryptocurrency research. We examine ten prevalent decisions related to data sources, sample preparation, and portfolio construction, generating 20,736 research designs for 43 sorting variables. Our findings reveal remarkable variation in portfolio performance tied to seemingly trivial choices. The non-standard errors in cryptocurrency studies not only surpass those in the stock market but also clearly exceed standard errors—though varying considerably across coin characteristics. Notwithstanding with the above, the most prominent cryptocurrency factors, such as size and momentum, remain consistently robust across numerous specifications. Lastly, we find that reducing the influence of the smallest coins effectively decreases the non-standard errors.
Adam Zaremba is an Associate Professor of Finance at Montpellier Business School (France) and Poznan University of Economics and Business (Poland). He previously served as Associate Professor of Finance at University of Dubai (UAE). His research interests include asset pricing, investments, and financial markets. He graduated from the Poznan University of Economics and Business and has studied, participated in courses, and taught at various institutions around the world. He has worked as an economist, adviser, and portfolio manager for investment management companies. Adam's works have been published in journals such as the Journal of Financial Economics, Journal of Banking and Finance, and Journal of Financial Stability. He is also an author of several books on financial markets.