Dissecting returns of non-fungible tokens (NFTs): Evidence from CryptoPunks

We use transaction data on CryptoPunks to dissect the factors affecting the returns of non -fungible tokens (NFTs). Our results show that trading volume in the short period before a trader buys (sells) CryptoPunk relates negatively (positively) to the returns on NFTs, suggesting that when market trading volume is at a high level, NFT owners are better off on the sell side, and investors interested in NFTs should avoid joining the herd. Turnover of a token tends to harm its returns. Finally, both traders' willingness to purchase and trading experience have a positive impact on NFT returns within short-term investment horizons.