Investor sentiment and cross-section of cryptocurrency returns

被引：0

作者：

Han, SeungOh ^{[1
]}

机构：

[1] Sejong Univ, Dept Business Adm, Seoul, South Korea

来源：

JOURNAL OF BEHAVIORAL AND EXPERIMENTAL FINANCE | 2025年 / 46卷

关键词：

Investor sentiment risk; Crypto fear and greed index; Cryptocurrency pricing; Negative sentiment risk premium; Cross-sectional tests; LIQUIDITY RISK;

D O I：

10.1016/j.jbef.2025.101043

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This study investigates the cross-sectional pricing of sentiment risk in cryptocurrencies, defined as sensitivity to changes in the Crypto Fear and Greed Index, from November 2018 to July 2024. Controlling for market, size, reversal, and liquidity factors, cryptocurrencies with intermediate sentiment risk yield risk-adjusted weekly return 3.57% higher than those with low or high risk, revealing a negative sentiment risk premium in cryptocurrencies with high positive sentiment beta. This negative risk premium is partially attributed to overpayment for lottery-like cryptocurrencies. These findings remain robust across cross-sectional regressions, various quantile portfolios, alternative risk factors, and diverse illiquidity measures.

引用

页数：11

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