This paper investigates whether investors’ anchoring bias matters for the cross section of cryptocurrency returns. Following the convention, we use the nearness of the current cryptocurrency price to N–day high as the proxy of anchoring. Both portfolio–level analysis and coin–level...

The volatility of investor returns depends not only on the volatility of the stocks investors hold but also on their time-varying capital exposure to these holdings. We provide comprehensive evidence on the volatility of investor returns using individual stocks, portfolios, and market indexes...

The volatility of investor returns depends not only on the volatility of the stocks investors hold but also on their time-varying capital exposure to these holdings. We measure investor returns as dollar-weighted returns (IRRs), and provide comprehensive evidence on the volatility of investor...