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Explaining cryptocurrency returns: A prospect theory perspective
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DOI：10.1016/j.intfin.2022.101599.png)
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摘要
En 中文
We investigate prospect theory's ability to explain cryptocurrency returns using data concerning 1,573 cryptocurrencies over the period 2014-2020. In line with the theory's predictions, we find that cryptocurrencies that are more (less) attractive from a prospect theory perspective earn lower (higher) future returns, suggesting that they tend to be overpriced (under priced). On average, a one cross-sectional standard-deviation increase in the prospect theory value of a cryptocurrency reduces its next-week return by 0.71% relative to its peers. This effect is stronger among cryp-tocurrencies that are more difficult to arbitrage, but it is not confined to the micro-cap segment of the market.
Keyword:
Prospect theory
Behavioural asset pricing
Cryptocurrency
Cross-section of returns
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6.1
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1.5K
被引数:
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