Can Bitcoin Investors Profit from Predictions by Crypto Experts?

29 Pages Posted: 25 Sep 2020 Last revised: 30 Jun 2021

See all articles by Dirk Gerritsen

Dirk Gerritsen

Utrecht University - School of Economics; Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)

Rick A.C. Lugtigheid

Utrecht School of Economics

Thomas Walther

Utrecht University - School of Economics; Dresden University of Technology - Faculty of Economics and Business Management

Date Written: September 8, 2020

Abstract

Using a hand-collected dataset containing bullish, neutral, and bearish predictions for Bitcoin published by crypto experts, we show that neutral and bearish predictions are followed by negative abnormal returns whereas bullish predictions are not associated with nonzero abnormal returns. Based on all outstanding predictions, we compute prediction changes relative to (i) the latest issued prediction and (ii) the outstanding consensus prediction. Downward revisions are followed by negative abnormal returns. We conclude that crypto experts are skilled information intermediaries on the Bitcoin market.

Keywords: Bitcoin, Experts, Market efficiency, Predictions, Forecasts

JEL Classification: G14, G24

Suggested Citation

Gerritsen, Dirk and Lugtigheid, Rick A.C. and Walther, Thomas, Can Bitcoin Investors Profit from Predictions by Crypto Experts? (September 8, 2020). Finance Research Letters, Forthcoming, DOI: 10.1016/j.frl.2021.102266, Available at SSRN: https://ssrn.com/abstract=3688943 or http://dx.doi.org/10.2139/ssrn.3688943

Dirk Gerritsen

Utrecht University - School of Economics ( email )

Kriekenpitplein 21-22
Adam Smith Building
Utrecht, +31 30 253 7373 3584 EC
Netherlands

Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)

P.O. Box 1738
3000 DR Rotterdam, NL 3062 PA
Netherlands

Rick A.C. Lugtigheid

Utrecht School of Economics ( email )

Kriekenpitplein 21-22
Adam Smith Building
Utrecht
Netherlands

Thomas Walther (Contact Author)

Utrecht University - School of Economics ( email )

Kriekenpitplein 21-22
Adam Smith Building
Utrecht, +31 30 253 7373 3584 EC
Netherlands

HOME PAGE: http://www.thomas-walther.info

Dresden University of Technology - Faculty of Economics and Business Management ( email )

Mommsenstrasse 13
Dresden, D-01062
Germany

HOME PAGE: http://www.tu-dresden.de/wiwi/finance

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