Maurizio Montone : Risk, return, and sentiment in a virtual asset market
Seminar on 15 April

Risk, return, and sentiment in a virtual asset market

Presenter
Maurizio Montone
Start date

Thursday 15 Apr 2021, 16:00

End date

Thursday 15 Apr 2021, 17:00

Location
Zoom
Ticket information

Please contact principe@ese.eur.nl for the link to this seminar.

The joint-hypothesis problem casts doubt on the results of market efficiency research. To address this issue, we study price formation in a large virtual asset market where fundamentals are fixed, predetermined, and publicly known.

Abstract

We find that a number of empirically well-established determinants of returns, such as factor-mimicking portfolios, investor sentiment, and attention, are important determinants of returns in this market, whereas the market beta is not. The magnitude of the results suggests that prices in real financial markets include a substantial behavioral component, which is likely underestimated in canonical asset pricing tests.

More information

The ECASE teamĀ 
Jan van Ours, Thomas Peeters, Stefan Szymanski, Francesco Principe and Sam Hoey