Twitter-based attention and the cross-section of cryptocurrency returns

A. T. Maître, N. Pugachyov, F. Weigert

This paper investigates how investors' abnormal attention affects the cross-section of cryptocurrency returns in the period from 2018 to 2022. We capture abnormal attention using the (log) number of Twitter posts on individual cryptocurrencies on the current day minus a 30-day average. Our results reveal that abnormal attention is positively associated with contemporaneous and one-day ahead crypto performance. Among the different Twitter tweets, return predictability arises due to Ticker-tweets from investors, but not due to tweets from the cryptocurrency channel. These Official-tweets, however, are able to forecast technological innovations on the blockchain.

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Year of publication:	[2025]
Authors:	Maître, Arnaud T. ; Pugachyov, Nikolay ; Weigert, Florian
Publisher:	Cologne : Centre for Financial Research
Subject:	Bitcoin \| cryptocurrencies \| Twitter attention \| textual sentiment \| Anlageverhalten \| Behavioural finance \| Virtuelle Währung \| Virtual currency \| Portfolio-Management \| Portfolio selection \| Social Web \| Social web \| Kapitaleinkommen \| Capital income