Reference: | Alexander, C., & Dakos, M. (2019). A critical investigation of cryptocurrency data and analysis. Quantitative Finance, 20(2), 173–188. Amihud, Y., & Mendelson, H. (1986). Asset pricing and the bid-ask spread. Journal of Financial Economics, 17(2), 223-249. Asness, C. S., Moskowitz, T. J., & Pedersen, L. H. (2013). Value and momentum everywhere. The Journal of Finance, 68(3), 929-985. Barberis, N., Shleifer, A., & Vishny, R. (1998). A model of investor sentiment. Journal of Financial Economics, 49(3), 307-343. Baur, D. G., Hong, K., & Lee, A. D. (2018). Bitcoin: Medium of exchange or speculative assets? Journal of International Financial Markets, Institutions and Money, 54, 177-189. Bianchi, D. (2020). Cryptocurrencies as an asset class? an empirical assessment. The Journal of Alternative Investments, 23(2), 162-179 Bouri, E., Molnár, P., Azzi, G., Roubaud, D., & Hagfors, L. I. (2017). On the hedge and safe haven properties of Bitcoin: Is it really more than a diversifier? Finance Research Letters, 20, 192-198. Carhart, M. M. (1997). On persistence in mutual fund performance. The Journal of Finance, 52(1), 57-82. Chordia, T., & Swaminathan, B. (2000). Trading volume and cross‐autocorrelations in stock returns. The Journal of Finance, 55(2), 913-935. Conlon, T., & McGee, R. (2020). Safe haven or risky hazard? Bitcoin during the COVID-19 bear market. Finance Research Letters, 35, 101607. Corbet, S., Meegan, A., Lucey, B., Urquhart, A., & Yarovaya, L. (2017). Cryptocurrency: A new investment opportunity? Journal of Asset Management, 18(4), 396-409. Daniel, K., Hirshleifer, D., & Subrahmanyam, A. (1998). Investor psychology and security market under‐ and overreactions. The Journal of Finance, 53(6), 1839-1885. Detzel, A., Liu, H., Strauss, J., Zhou, G., & Zhu, Y. (2021). Learning and predictability via technical analysis: evidence from Bitcoin and stocks with hard‐to‐value fundamentals. Financial Management, 50(1), 107-137. Fama, E. F., & French, K. R. (1992). The cross‐section of expected stock returns. The Journal of Finance, 47(2), 427-465. Geczy, C. C., & Samonov, M. (2017). Two centuries of multi-asset momentum (2017). SSRN Electronic Journal. Jegadeesh, N., & Titman, S. (1993). Returns to buying winners and selling losers: Implications for stock market efficiency. The Journal of Finance, 48(1), 65-91. Kyriazis, N. A. (2019). A survey on efficiency and profitable trading opportunities in cryptocurrency markets. Journal of Risk and Financial Management, 12(2), 67. Liu, Y., & Tsyvinski, A. (2020). Risks and returns of cryptocurrency. The Review of Financial Studies, 34(6), 2689-2727. Liu, Y., Tsyvinski, A., & Wu, X. (2022). Common risk factors in cryptocurrency. The Journal of Finance, 77(2), 1133-1177. Nakamoto, S. (2008). Bitcoin: A peer-to-peer electronic cash system. Pelster, M., Breitmayer, B., & Hasso, T. (2019). Are cryptocurrency traders pioneers or just risk-seekers? Evidence from brokerage accounts. Economic Letters, 182, 98-100. Pitkäjärvi, M., Suominen, M., & Vaittinen, L. (2020). Cross-asset signals and time series momentum. Journal of Financial Economics, 136(1), 63-85. Shen, D., Urquhart, A., & Wang, P. (2019). Does Twitter predict Bitcoin? Economics Letters, 174, 118-122. |