Bitcoin and Sentiment

33 Pages Posted: 16 Aug 2018

See all articles by Hoje Jo

Hoje Jo

Santa Clara University

Haehean Park

Southwestern University of Finance and Economics (SWUFE)

Hersh Shefrin

Santa Clara University - Leavey School of Business

Date Written: August 14, 2018

Abstract

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

Jo, Hoje and Park, Haehean and Shefrin, Hersh, Bitcoin and Sentiment (August 14, 2018). Available at SSRN: https://ssrn.com/abstract=3230572 or http://dx.doi.org/10.2139/ssrn.3230572

Hoje Jo

Santa Clara University ( email )

Santa Clara, CA 95053
United States
408-224-8890 (Phone)
408-554-4029 (Fax)

Haehean Park

Southwestern University of Finance and Economics (SWUFE) ( email )

55 Guanghuacun St,
Chengdu, Sichuan 610074
China

Hersh Shefrin (Contact Author)

Santa Clara University - Leavey School of Business ( email )

Dept. of Finance
Santa Clara, CA 95053
United States
408-554-6893 (Phone)
408-554-4029 (Fax)

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