Disagreement and returns: The case of cryptocurrencies-北京大学战略研究所

题目	Disagreement and returns: The case of cryptocurrencies
作者	Garfinkel, Jon A. Hsiao, Lawrence Hu, Danqi
作者单位	Univ Iowa, Henry B Tippie Coll Business, Dept Finance, Iowa City, IA USA Natl Taiwan Univ, Coll Management, Taipei, Taiwan Peking Univ, Guanghua Sch Management, Beijing, Peoples R China
关键词：	SPECULATIVE INVESTOR BEHAVIOR CROSS-SECTION TRADING VOLUME STOCK-MARKET HETEROGENEOUS BELIEFS PRICE CHANGES EARNINGS OPINION INFORMATION DIVERGENCE
时间：	2025年1月9日
出版者：	FINANCIAL MANAGEMENT
摘要	We present the first evidence of investor-trading-based disagreement's influence on cross-sectional cryptocurrency daily returns. We interpret abnormal trading volume as investor disagreement and find evidence in support of Miller's disagreement model: when short-sale constraints are binding, high abnormal volume (high disagreement) assets experience lower future returns. Further supporting Miller, these same conditions associate with higher contemporaneous order imbalance, and ex post decreases in both buying and selling activities, with the former exceeding the latter in magnitude. By contrast, the effect of high disagreement disappears after a coin's margin trading is activated. We conclude that price-optimism models explain the disagreement-returns relationship when opinion divergence is likely the dominant determinant of returns.
URL	http://hdl.handle.net/20.500.11897/732896
ISSN	0046-3892
DOI	10.1111/fima.12491
收录情况	SSCI

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作者单位	Univ Iowa, Henry B Tippie Coll Business, Dept Finance, Iowa City, IA USA Natl Taiwan Univ, Coll Management, Taipei, Taiwan Peking Univ, Guanghua Sch Management, Beijing, Peoples R China	时间	2025年1月9日
出版者	FINANCIAL MANAGEMENT	URL	http://hdl.handle.net/20.500.11897/732896
ISSN	0046-3892	DOI	10.1111/fima.12491
收录情况	SSCI	分类