Survivorship and Delisting Bias in Cryptocurrency Markets

We examine performance-measure distortions arising from survivorship and delisting bias in a cryptocurrency sample. Using 3,904 cryptocurrencies from 2014 to 2021, we document an annualized survivorship bias of 0.93% for value-weighted and 62.19% for equal-weighted buy-and-hold portfolios. After correcting for these biases, a size effect is confirmed but substantially overstated in survival-conditioned samples, while momentum and market beta show no positive relationship with returns once delisting returns are accounted for. The findings imply that a non-trivial share of published cryptocurrency anomaly evidence is an artefact of data-truncation rather than of cross-sectional return predictability.

Working Paper (University of St.Gallen & University of Liechtenstein)