Predictability of bitcoin returns

【Author】 Cheah, Jeremy Eng-Tuck; Luo, Di; Zhang, Zhuang; Sung, Ming-Chien

【Source】EUROPEAN JOURNAL OF FINANCE

【影响因子】1.903

【Abstract】This paper comprehensively examines the performance of a host of popular variables to predict Bitcoin returns. We show that time-series momentum, economic policy uncertainty, and financial uncertainty outperform other predictors in all in-sample, out-of-sample, and asset allocation tests. Bitcoin returns have no exposure to common stock and bond market factors but rather are affected by Bitcoin-specific and external uncertainty factors.

【Keywords】Bitcoin; return predictability; forecasting; time-series momentum; certainty equivalent return

【发表时间】2020

【收录时间】2022-01-02

【文献类型】

【主题类别】

--