Revisiting the low-volatility anomaly in cryptocurrency markets

초록

This paper examines the cross-sectional relation between ex-ante volatility and subsequent returns in cryptocurrency markets using volatility-sorted portfolios. Contrary to early evidence suggesting that high-volatility cryptocurrencies earn higher returns, we document a statistically and economically meaningful low-volatility premium in the post-2017 period. Cryptocurrencies with lower realized volatility systematically outperform their high-volatility counterparts across multiple formation windows and holding horizons. We interpret this reversal relative to earlier findings as consistent with the maturation of cryptocurrency markets. As liquidity, market depth, and institutional participation have increased, return dynamics appear to increasingly resemble those observed in traditional asset classes. The volatility premium becomes more pronounced in later subperiods, which is consistent with this interpretation. Our findings are robust to controlling for market-wide cryptocurrency exposure, excluding extreme Bitcoin market episodes, and restricting the sample to a fixed cohort of pre-2019 listed assets to address potential selection and survivorship concerns. Overall, the evidence is consistent with the presence of a stable cross-sectional volatility-return relation in contemporary cryptocurrency markets and highlights the evolving nature of risk pricing in digital asset markets.

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