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The Psychology of Cryptocurrency Prices
16 references·0 citing·41 second hop
The Psychology of Cryptocurrency Prices (2019)The Psychology of Cryptocurrency PricesWhat can explain the price, volatility and trading volume of Bitcoin? (2018)What can explain the price, v…Semi-strong efficiency of Bitcoin (2018)Semi-strong efficiency of Bit…Price discovery of cryptocurrencies: Bitcoin and beyond (2018)Price discovery of cryptocurr…On Bitcoin markets (in)efficiency and its evolution (2018)On Bitcoin markets (in)effici…Bitcoin is not the New Gold – A comparison of volatility, correlation, and portfolio performance (2018)Bitcoin is not the New Gold –…Adaptive market hypothesis and evolving predictability of bitcoin (2018)Adaptive market hypothesis an…Time-varying long-term memory in Bitcoin market (2017)Time-varying long-term memory…The inefficiency of Bitcoin revisited: A dynamic approach (2017)The inefficiency of Bitcoin r…Informational efficiency of Bitcoin—An extension (2017)Informational efficiency of B…The Inefficiency of Bitcoin (2016)The Inefficiency of BitcoinOn the inefficiency of Bitcoin (2016)On the inefficiency of BitcoinBitcoin, gold and the dollar – A GARCH volatility analysis (2015)Bitcoin, gold and the dollar …Nominal Price Illusion (2013)Nominal Price IllusionEx Ante Skewness and Expected Stock Returns (2012)Ex Ante Skewness and Expected…The Idiosyncratic Volatility Puzzle: Time Trend or Speculative Episodes? (2009)The Idiosyncratic Volatility …Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Behavior of Stock-Market Prices (1965)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)The Cross-Section of Expected Stock Returns (1992)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1988)Safe haven or risky hazard? Bitcoin during the Covid-19 bear market (2020)A test for independence based on the correlation dimension (1996)An Empirical Study on Modeling and Prediction of Bitcoin Prices With Bayesian Neural Networks Based on Blockchain Information (2017)Is Bitcoin a Hedge or Safe-Haven for Currencies? An Intraday Analysis (2018)Théorie de la spéculation (1900)A new look at Cryptocurrencies (2017)What Causes the Attention of Bitcoin? (2018)AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING (1980)THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS (1983)Effects of the geopolitical risks on Bitcoin returns and volatility (2018)Efficiency, multifractality, and the long-memory property of the Bitcoin market: A comparative analysis with stock, currency, and gold markets (2018)Cryptocurrency market contagion: Market uncertainty, market complexity, and dynamic portfolios (2019)Illiquidity and stock returns: cross-section and time-series effects (2002)The Role of Bitcoin in Well Diversified Portfolios: A Comparative Global Study (2018)Information interdependence among energy, cryptocurrency and major commodity markets (2019)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Dynamic Conditional Correlation (2002)Are cryptocurrencies a safe haven for equity markets? An international perspective from the COVID-19 pandemic (2020)Searching for safe-haven assets during the COVID-19 pandemic (2020)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Industry costs of equity (1997)Liquidity Risk and Expected Stock Returns (2003)Disappearing Dividends, Catering, and Risk (2008)Individual Investors and Volatility: (ex Chaining up noise traders) (2008)The common factor in idiosyncratic volatility: Quantitative asset pricing implications (2015)Advances in prospect theory: Cumulative representation of uncertainty (1992)Common risk factors in the returns on stocks and bonds (1993)On Persistence in Mutual Fund Performance (1997)Does Mandatory IFRS Adoption Affect Crash Risk? (2011)Corporate Political Connections and Tax Aggressiveness (2015)Good and bad uncertainty: Macroeconomic and financial market implications (2015)Exploring the Dynamic Relationships between Cryptocurrencies and Other Financial Assets (2017)Volatility estimation for Bitcoin: A comparison of GARCH models (2017)
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References

  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 2015Bitcoin, gold and the dollar – A GARCH volatility analysis1,552 cited
  • 2016The Inefficiency of Bitcoin1,292 cited
  • 2018Bitcoin is not the New Gold – A comparison of volatility, correlation, and portfolio performance832 cited
  • 2012Ex Ante Skewness and Expected Stock Returns762 cited
  • 2016On the inefficiency of Bitcoin636 cited
  • 2017The inefficiency of Bitcoin revisited: A dynamic approach615 cited
  • 2009The Idiosyncratic Volatility Puzzle: Time Trend or Speculative Episodes?518 cited
  • 2017Informational efficiency of Bitcoin—An extension365 cited
  • 2018Price discovery of cryptocurrencies: Bitcoin and beyond326 cited
  • 2018What can explain the price, volatility and trading volume of Bitcoin?306 cited
  • 2017Time-varying long-term memory in Bitcoin market296 cited
  • 2018Adaptive market hypothesis and evolving predictability of bitcoin267 cited
  • 2018Semi-strong efficiency of Bitcoin259 cited
  • 2018On Bitcoin markets (in)efficiency and its evolution198 cited
  • 2013Nominal Price Illusion

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