The 2017 bubble on the cryptocurrency market recalls our memory in the dot-com bubble, during which hard-to-measure fundamentals and investors' illusion for brand new technologies led to overvalued prices. Benefiting from the massive increase in the volume of messages published on social media...

We show that valuation uncertainty and information arrival are two key characteristics of factors that determine whether they are affected by sentiment or limited attention. Moreover, individual factors of the leading factor models do not have significant loadings on these two characteristics...