Abstract
Rationally justifying Bitcoin’s immense price fluctuations has remained a persistent challenge for both investors and researchers in this field. A primary reason is our potential weakness toward robustly quantifying unquantifiable risks or ambiguity in Bitcoin returns. This paper introduces a behavioral channel to argue that the degree of ambiguity aversion is a prominent source of abnormal returns from investment in Bitcoin markets. Using data
over a ten-year period, we show that Bitcoin investors exhibit, on average, an increasing aversion to ambiguity. Furthermore, investors are found to earn abnormal returns only when ambiguity is low. Robustness exercises reassure on the validity of our results.
over a ten-year period, we show that Bitcoin investors exhibit, on average, an increasing aversion to ambiguity. Furthermore, investors are found to earn abnormal returns only when ambiguity is low. Robustness exercises reassure on the validity of our results.
Original language | English |
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Article number | 101362 |
Number of pages | 23 |
Journal | Journal of International Financial Markets, Institutions and Money |
Volume | 73 |
Early online date | 21 May 2021 |
DOIs | |
Publication status | Published - Jul 2021 |
Keywords
- Bitcoin
- Ambiguity
- Abnormal returns