TY - JOUR
T1 - Predictability of bitcoin returns
AU - Cheah, Jeremy Eng-Tuck
AU - Luo, Di
AU - Zhang, Zhuang
AU - Sung, Ming-Chien
N1 - Copyright:
© 2020 Informa UK Limited, trading as Taylor & Francis Group.
PY - 2022
Y1 - 2022
N2 - 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.
AB - 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.
KW - Bitcoin
KW - certainty equivalent return
KW - forecasting
KW - return predictability
KW - time-series momentum
UR - https://www.scopus.com/record/display.uri?eid=2-s2.0-85095786011&origin=inward
U2 - 10.1080/1351847X.2020.1835685
DO - 10.1080/1351847X.2020.1835685
M3 - Article
SN - 1351-847X
VL - 28
SP - 66
EP - 85
JO - European Journal of Finance
JF - European Journal of Finance
IS - 1
ER -