Bitcoin and Sentiment
33 Pages Posted: 16 Aug 2018
Date Written: August 14, 2018
On the surface, cryptocurrencies share important features in common with high sentiment beta stocks. Baker and Wurgler (2007) identify high sentiment betas with small startup firms that have great growth potential. This paper investigates the degree to which, during the period July 18, 2010 to February 26, 2018, the return to bitcoin displayed the characteristics of a high sentiment beta stock. Using a sentiment-dependent factor model, the analysis indicates that in large measure, bitcoin returns resembled returns to high sentiment beta stocks.
Keywords: cryptocurrency, bitcoin, sentiment beta, bubble
JEL Classification: E42; G10, G11, G12
Suggested Citation: Suggested Citation