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...

Using a novel equity lending dataset, this paper is the first to show that expected returns strongly and negatively predict future equity lending fees. In comparing two expected return measures, I find that a rational expected return has stronger predictive power of future short selling activity...

This paper investigates the risk and return properties of a trading strategy for the cryptocurrency market. The main predictive power for portfolio formation comes from a simple prospect theory model that only uses price information readily available. The dataset consists of a large body of...

Experts’ opinions are widely considered for investment decisions. We collect textual information from cryptocurrency experts, study the dynamics in their discussion topics and their sentiment in relation to market movements. Based on the analysis we test various hypothesis which span if the...

We use boosted decision trees to generate daily out-of-sample forecasts of excess returns for Bitcoin and Ethereum, the two best-known and largest cryptocurrencies. The decision trees incorporate information from 39 predictors, including variables relating to cryptocurrency fundamentals,...

This paper examines the distributional properties of cryptocurrency realized variation measures (RVM) and the predictability of RVM on future returns. We show the cryptocurrency volatility persistence and the importance of the asymmetry on volatility forecasting. Signed jumps variations...

In this paper we take an empirical asset pricing perspective and investigate the dominant view (possibly, an instinctive reflection of the media hype surrounding the surge of Bitcoin valuations) that cryptocurrencies represent a new asset class, spanning risks and payoffs sufficiently...

The recent 50% drop in the price of the flagship cryptocurrency Bitcoin reinforces the persistent anxiety among cryptocurrency investors. Can alternative assets hedge Bitcoin risk? This study investigates the ability of equities, commodities, bonds, currencies, and VIX futures to hedge Bitcoin....

Hedge fund managers are largely free to pursue dynamic trading strategies and standard linear regression is no longer accurate for measuring hedge fund abnormal return (alpha) and risk exposure (beta). Accordingly, this paper presents a dynamic linear model to capture hedge fund dynamics. By...

Warren Buffett suggested that the ratio of the market value of all publicly traded stocks to the Gross National Product could identify potential overvaluations and undervaluations in the US equity market. We investigate whether this ratio is a statistically significant predictor of equity market...