Bitcoin Returns Resemble Returns of High Sentiment Beta Stocks

Bitcoin Returns Resemble Returns of High Sentiment Beta Stocks

Radovan Vojtko Radovan Vojtko

Radovan Vojtko

Quantpedia.com - The Encyclopedia of Algorithmic & Quantitative Trading Strategies

发布日期: 2018年9月21日
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A new financial research paper has been published by Jo, Park and Shefrin and is related to all cryptocurrency trading strategies:

https://quantpedia.com/Blog/Details/bitcoin-returns-resemble-returns-of-high-sentiment-beta-stocks

Shortly:

"On the surface, cryptocurrencies share important features in common with high sentiment beta stocks. Baker and Wurgler (2007) identify high sentiment betas with small startup firms that have great growth potential. This paper investigates the degree to which, during the period July 18, 2010 to February 26, 2018, the return to bitcoin displayed the characteristics of a high sentiment beta stock. Using a sentiment-dependent factor model, the analysis indicates that in large measure, bitcoin returns resembled returns to high sentiment beta stocks."

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