投资者情绪和加密货币回报的横截面

IF 4.3 2区经济学 Q1 BUSINESS, FINANCE

Journal of Behavioral and Experimental Finance Pub Date : 2025-03-21 DOI:10.1016/j.jbef.2025.101043

SeungOh Han

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引用次数: 0

摘要

本研究调查了2018年11月至2024年7月期间加密货币情绪风险的横截面定价，定义为对加密货币恐惧和贪婪指数变化的价格敏感性。在控制市场、规模、反转和流动性因素后，具有中等情绪风险的加密货币的风险调整周收益率比具有低风险或高风险的加密货币高3.57%，这表明具有高积极情绪beta的加密货币存在负情绪风险溢价。这种负风险溢价部分归因于对类似彩票的加密货币的超额支付。这些发现在横截面回归、各种分位数组合、替代风险因素和各种非流动性措施中都保持稳健。

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Investor sentiment and cross-section of cryptocurrency returns

This study investigates the cross-sectional pricing of sentiment risk in cryptocurrencies, defined as price sensitivity to changes in the Crypto Fear and Greed Index, from November 2018 to July 2024. Controlling for market, size, reversal, and liquidity factors, cryptocurrencies with intermediate sentiment risk yield a risk-adjusted weekly return 3.57% higher than those with low or high risk, revealing a negative sentiment risk premium in cryptocurrencies with high positive sentiment beta. This negative risk premium is partially attributed to overpayment for lottery-like cryptocurrencies. These findings remain robust across cross-sectional regressions, various quantile portfolios, alternative risk factors, and diverse illiquidity measures.

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来源期刊

Journal of Behavioral and Experimental Finance BUSINESS, FINANCE-

CiteScore

13.20

自引率

6.10%

发文量

审稿时长

69 days

期刊介绍： Behavioral and Experimental Finance represent lenses and approaches through which we can view financial decision-making. The aim of the journal is to publish high quality research in all fields of finance, where such research is carried out with a behavioral perspective and / or is carried out via experimental methods. It is open to but not limited to papers which cover investigations of biases, the role of various neurological markers in financial decision making, national and organizational culture as it impacts financial decision making, sentiment and asset pricing, the design and implementation of experiments to investigate financial decision making and trading, methodological experiments, and natural experiments. Journal of Behavioral and Experimental Finance welcomes full-length and short letter papers in the area of behavioral finance and experimental finance. The focus is on rapid dissemination of high-impact research in these areas.