Predictability of bitcoin returns

Jeremy Eng‐Tuck Cheah · Di Luo · Zhuang Zhang · Ming‐Chien Sung

26 citations0/0 files storedEuropean Journal of Finance

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Financial Markets and Investment Strategies Market Dynamics and Volatility Stock Market Forecasting Methods

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.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 26 citations exist upstream.

References

2016Measuring Economic Policy Uncertainty*2003Liquidity Risk and Expected Stock Returns 1986Asset pricing and the bid-ask spread 1997The Econometrics of Financial Markets 2007A Comprehensive Look at The Empirical Performance of Equity Premium Prediction 1989Business conditions and expected returns on stocks and bonds 2007Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average?2015Measuring Uncertainty

Cited by

2023Interactions between investors’ fear and greed sentiment and Bitcoin prices

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

Imported from OpenAlex (CC0) — nothing here is generated.