HEC-Ecole de gestion de l'Université de Liège
HEC-Ecole de gestion de l'Université de Liège

TMAX Strategy and Lottery-like Demand in the Cryptocurrency and Mutual Funds Market

Assa, Damien ULiège
Promotor(s) : Hambuckers, Julien ULiège
Date of defense : 4-Sep-2023/8-Sep-2023 • Permalink :
Title : TMAX Strategy and Lottery-like Demand in the Cryptocurrency and Mutual Funds Market
Author : Assa, Damien ULiège
Date of defense  : 4-Sep-2023/8-Sep-2023
Advisor(s) : Hambuckers, Julien ULiège
Committee's member(s) : Torsin, Wouter ULiège
Language : English
Number of pages : 86
Keywords : [en] TMAX Strategy
[en] crypto
[en] cryptocurrency
[en] mutual funds
[en] fonds
[en] investment strategy
[en] lotteries
[en] lottery-like demand
[en] lottery bias
[en] lottery anomaly
[en] lottery assets
[en] lottery-like assets
[en] TMAX Momentum
[en] MAX Strategy
Discipline(s) : Business & economic sciences > Finance
Institution(s) : Université de Liège, Liège, Belgique
Degree: Master en sciences de gestion, à finalité spécialisée en Banking and Asset Management
Faculty: Master thesis of the HEC-Ecole de gestion de l'Université de Liège


[en] This Master's thesis explores the profitability of the novel TMAX Strategy by Lin et al. (2021) in the cryptocurrency and mutual funds market. In the cryptocurrency market, this investment strategy generates statistically significant average raw losses of 4.38% per week under equal weights and 6.01% under value weights. The research thereby provides empirical evidence of a 'TMAX momentum' effect in the cryptocurrency market. No convincing evidence of a lottery-related bias exhibited by professional money managers can be found; since the early 2000s, no TMAX effect can be observed in the mutual funds market. The study advocates for a mispricing explanation of theTMAX momentum in the cryptocurrency market and shows that a high risk-premium for idiosyncratic skewness, not a differing investor behaviour, explains the diverging results between the stock and cryptocurrency market's TMAX Strategy profitability.
The findings in the mutual funds market indicate that the lottery anomaly in the stock market is driven by retail investors, not institutional investors.



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  • Assa, Damien ULiège Université de Liège > Master sc. gest., à fin.


Committee's member(s)

  • Torsin, Wouter ULiège Université de Liège - ULiège > HEC Liège : UER > UER Finance et Droit : Financial Reporting and Audit
    ORBi View his publications on ORBi
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