Risk, return, and sentiment in a virtual asset market
- Maurizio Montone
- Start date
Thursday 15 Apr 2021, 16:00
- End date
Thursday 15 Apr 2021, 17:00
- Ticket information
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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.
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.