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Momentum Effects in the Cryptocurrency Market after One-Day Abnormal Returns

Caporale, Guglielmo Maria - 2019

. For this purpose a number of hypotheses of interest are tested for the BitCoin, Ethereum and LiteCoin exchange rates vis …

Persistent link: https://www.econbiz.de/10012859990

Money Creation in Decentralized Finance : A Dynamic Model of Stablecoin and Crypto Shadow Banking

Li, Ye; Mayer, Simon - 2021

Stablecoins rise to meet the demand for safe assets in decentralized finance. Stablecoin issuers transform risky reserve assets into tokens of stable values, deploying a variety of tactics. To address the questions on the viability of stablecoins, regulations, and the initiatives led by large...

Persistent link: https://www.econbiz.de/10013214344

Insensitive Investors

Charles, Constantin; Frydman, Cary; Kilic, Mete - 2022

We show theoretically that the weak transmission of beliefs to actions induces a strong bias in basic asset pricing tests. In particular, expected returns can appear to decline in risk when investors weakly transmit their payoff expectations into willingness to pay. We experimentally test this...

Persistent link: https://www.econbiz.de/10014242026

The Dynamics of Households' Stock Market Beliefs

Gaudecker, Hans-Martin von - 2019

We analyse a long panel of households’ stock market beliefs to gain insights into the nature of their expectations formation processes. We classify respondents into one of five groups based on their data and estimate group-wise models of expectations formation. Two of the groups are at...

Persistent link: https://www.econbiz.de/10012871761

Climate Policy, Stranded Assets, and Investors' Expectations

Sen, Suphi - 2019

Climate policies to keep global warming below 2℃ might render some of the world's fossil fuels and related infrastructure worthless prior to the end of their economic life time. Therefore, some energy-sector assets are at risk of becoming stranded. This paper investigates whether and how...

Persistent link: https://www.econbiz.de/10012859044

Bitcoin Fluctuations and the Frequency of Price Overreactions

Caporale, Guglielmo Maria - 2019

BitCoin over the period 2013-2018. Specifically, it uses a static approach to detect overreactions and then carries out … Bitcoin price movements (H1) and (ii) exhibits seasonality (H2). On the whole, the results suggest that it can provide useful …

Persistent link: https://www.econbiz.de/10012892294

Taxing Cryptocurrencies

Baer, Katherine; Mooij, Ruud A. de; Hebous, Shafik; … - 2023

obstacle to third-party reporting. Design problems arise from crytocurrencies’ dual nature as investment assets and means of …

Persistent link: https://www.econbiz.de/10014355354

Banking in the Shadow of Bitcoin? The Institutional Adoption of Cryptocurrencies

Auer, Raphael A.; Farag, Marc; Lewrick, Ulf; Orazem, Lovrenc - 2023

financial system” serves both retail and institutional clients, such as dedicated investment funds. An uneven regulatory …

Persistent link: https://www.econbiz.de/10014355555

Can Bitcoin Mining Increase Renewable Electricity Capacity?

Bruno, August; Weber, Paige; Yates, Andrew - 2022

Proponents of Bitcoin argue that demand for electricity from Bitcoin miners can lead to an increase in renewable … electricity capacity. We rigorously evaluate this claim by estimating a Bitcoin electricity demand curve and include this demand … curve in a long-run model of the Texas electricity market. We find that while Bitcoin mining can indeed increase renewable …

Persistent link: https://www.econbiz.de/10014239209

Long-Run Linkages between US Stock Prices and Cryptocurrencies : A Fractional Cointegration Analysis

Caporale, Guglielmo Maria; Dios Mazariegos, José Javier; … - 2022

This paper applies fractional integration and cointegration methods to examine respectively the univariate properties of the four main cryptocurrencies in terms of market capitalization (BTC, ETH, USDT, BNB) and of four US stock market indices (S&P500, NASDAQ, Dow Jones and MSCI for emerging...

Persistent link: https://www.econbiz.de/10014239604