Someone like you: Lottery-like preference and the cross-section of expected returns in the cryptocurrency market

IF 5.4 2区 经济学 Q1 BUSINESS, FINANCE Journal of International Financial Markets Institutions & Money Pub Date : 2024-01-28 DOI:10.1016/j.intfin.2024.101957
Xiaojuan Zhao , Ye Wang , Weiyi Liu
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Abstract

This study sketches how crypto speculators place their bets and investigates the impact of speculative behavior on cryptocurrency pricing. We conjecture that investors favor comparable alternatives to well-known, successful cryptocurrencies as compensation for missed get-rich-quick opportunities. Our verification begins with developing a composite lottery identification indicator that encapsulates the unique characteristics of cryptocurrencies. Intriguing findings involve the following: A low price effect exists in the cryptocurrency market; small and illiquid cryptocurrencies no longer exhibit superior performance within the most speculative portfolios; investors’ lottery-like preferences are time-varying and differ across cryptocurrencies with different features. Collectively, these findings corroborate our conjecture from various angles.

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像你这样的人类似彩票的偏好与加密货币市场的预期收益截面
本研究概述了加密货币投机者如何下注,并调查了投机行为对加密货币定价的影响。我们推测,投资者青睐知名、成功的加密货币的可比替代品,作为对错失快速致富机会的补偿。我们的验证从开发一个综合彩票识别指标开始,该指标概括了加密货币的独特特征。引人入胜的发现包括以下几点:加密货币市场存在低价格效应;在投机性最强的投资组合中,小型和流动性差的加密货币不再表现出卓越的性能;投资者的类似彩票的偏好是随时间变化的,并且在具有不同特征的加密货币之间存在差异。总之,这些发现从不同角度证实了我们的猜想。
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来源期刊
CiteScore
6.60
自引率
10.00%
发文量
142
期刊介绍: International trade, financing and investments, and the related cash and credit transactions, have grown at an extremely rapid pace in recent years. The international monetary system has continued to evolve to accommodate the need for foreign-currency denominated transactions and in the process has provided opportunities for its ongoing observation and study. The purpose of the Journal of International Financial Markets, Institutions & Money is to publish rigorous, original articles dealing with the international aspects of financial markets, institutions and money. Theoretical/conceptual and empirical papers providing meaningful insights into the subject areas will be considered. The following topic areas, although not exhaustive, are representative of the coverage in this Journal. • International financial markets • International securities markets • Foreign exchange markets • Eurocurrency markets • International syndications • Term structures of Eurocurrency rates • Determination of exchange rates • Information, speculation and parity • Forward rates and swaps • International payment mechanisms • International commercial banking; • International investment banking • Central bank intervention • International monetary systems • Balance of payments.
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