Investing during a Fintech Revolution: ambiguity and return risk in cryptocurrencies

Di Luo, Tapas Mishra, Larisa Yarovaya, Zhuang Zhang

    Research output: Contribution to journalArticlepeer-review

    15 Citations (Scopus)
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    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.
    Original languageEnglish
    Article number101362
    Number of pages23
    JournalJournal of International Financial Markets, Institutions and Money
    Early online date21 May 2021
    Publication statusPublished - Jul 2021


    • Bitcoin
    • Ambiguity
    • Abnormal returns


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