Momentum is one of the most widespread, persistent, and puzzling phenomenon in asset pricing. The prevailing explanation for momentum is that investors under-react to new information, and thus asset prices tend to drift over time. We use a unique feature of cryptocurrency markets: the fact that they are open 24/7, and report returns over the last 24 hours. Thus, the one-day return is subject to predictable fluctuations based on the removal of lagged information. We show that investors respond positively to changes in reported returns that are unrelated to any new release of information, or change in the asset fundamentals. We call this behavioral anomaly "Pure Momentum".

Bio: Cesare joined the Finance Faculty at the McCombs School of Business in 2009. His primary research interest is in the area of corporate finance. His research includes work on corporate governance, executive compensation, credit rating agencies, small business financing, and the effects of social networks and cultural preferences on financial policies. His articles have been published in the top Finance journals, such as the Journal of Finance, the Journal of Financial Economics, and the Journal of Financial and Quantitative Analysis. He teaches corporate finance and valuations in the MBA program. Cesare holds a Bachelor's degree in Electrical Engineering from the Politecnico di Milano (Italy), and an MBA and PhD in Finance from UCLA Anderson. He was a visiting professor at the Wharton School in 2012/2013. Before his PhD, he worked as strategic management consultant at Booz Allen and Roland Berger in Italy, and as summer intern at the United Nations in New York.