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The predictability of Bitcoin returns

The predictability of Bitcoin returns
The predictability of Bitcoin returns
Our article comprehensively examines the performance of a host of popular variables to predict Bitcoin returns. We show that time-series momentum and political 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 factors. Our evidence also indicates that Bitcoin offers significant diversification benefits for investors against uncertainty.
Luo, Di
cc1b0fa7-f630-45dc-ab05-495f9023148f
Cheah, Jeremy
298800de-521f-4aa8-9c04-2f58eece4c6e
Zhang, Zhuang
df7b9fa8-04fd-4085-b74d-c9c1506b974e
Sung, Ming-Chien
2114f823-bc7f-4306-a775-67aee413aa03
Luo, Di
cc1b0fa7-f630-45dc-ab05-495f9023148f
Cheah, Jeremy
298800de-521f-4aa8-9c04-2f58eece4c6e
Zhang, Zhuang
df7b9fa8-04fd-4085-b74d-c9c1506b974e
Sung, Ming-Chien
2114f823-bc7f-4306-a775-67aee413aa03

Luo, Di, Cheah, Jeremy, Zhang, Zhuang and Sung, Ming-Chien (2019) The predictability of Bitcoin returns. British Academy of Management Corporate Governance Conference 2019, Southampton, United Kingdom. 24 - 25 Jun 2019. 15 pp . (In Press)

Record type: Conference or Workshop Item (Paper)

Abstract

Our article comprehensively examines the performance of a host of popular variables to predict Bitcoin returns. We show that time-series momentum and political 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 factors. Our evidence also indicates that Bitcoin offers significant diversification benefits for investors against uncertainty.

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Paper 8th June - Accepted Manuscript
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More information

Accepted/In Press date: May 2019
Venue - Dates: British Academy of Management Corporate Governance Conference 2019, Southampton, United Kingdom, 2019-06-24 - 2019-06-25

Identifiers

Local EPrints ID: 432327
URI: https://eprints.soton.ac.uk/id/eprint/432327
PURE UUID: 60e94e33-b828-4ed0-9644-09e7d4be39ba
ORCID for Di Luo: ORCID iD orcid.org/0000-0001-7405-6347
ORCID for Jeremy Cheah: ORCID iD orcid.org/0000-0003-2953-3815
ORCID for Ming-Chien Sung: ORCID iD orcid.org/0000-0002-2278-6185

Catalogue record

Date deposited: 10 Jul 2019 16:30
Last modified: 30 Jul 2019 00:35

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