Journal article
Disagreement and returns: The case of cryptocurrencies
Financial management, Vol.54(3), pp.633-672
09/2025
DOI: 10.1111/fima.12491
Appears in UI Libraries Support Open Access
Abstract
We present the first evidence of investor‐trading‐based disagreement's influence on cross‐sectional cryptocurrency daily returns. We interpret abnormal trading volume as investor disagreement and find evidence in support of Miller's disagreement model: when short‐sale constraints are binding, high abnormal volume (high disagreement) assets experience lower future returns. Further supporting Miller, these same conditions associate with higher contemporaneous order imbalance, and ex post decreases in both buying and selling activities, with the former exceeding the latter in magnitude. By contrast, the effect of high disagreement disappears after a coin's margin trading is activated. We conclude that price‐optimism models explain the disagreement‐returns relationship when opinion divergence is likely the dominant determinant of returns.
Details
- Title: Subtitle
- Disagreement and returns: The case of cryptocurrencies
- Creators
- Jon A. Garfinkel - University of IowaLawrence Hsiao - National Taiwan UniversityDanqi Hu - Peking University
- Resource Type
- Journal article
- Publication Details
- Financial management, Vol.54(3), pp.633-672
- DOI
- 10.1111/fima.12491
- ISSN
- 0046-3892
- eISSN
- 1755-053X
- Publisher
- Wiley
- Grant note
- NationalyScience and Technology Council of Taiwan: 111-2410-H-002-277, 112-2410-H-002-152 National Science and Technology Council of Taiwan
We thank Lin William Cong, Tony Cookson, Redouane Elkamhi, Paul Hribar, Albert S. (Pete) Kyle, Marina Niessner, and Petra Sinagl for very helpful comments, discussions, and suggestions. We further thank two anonymous referees and the editor (Michael Goldstein) for suggestions and guidance. All errors are the responsibility of the authors. Hsiao acknowledges the financial support from the National Science and Technology Council of Taiwan (111-2410-H-002-277-, 112-2410-H-002-152-).
- Language
- English
- Electronic publication date
- 01/09/2025
- Date published
- 09/2025
- Academic Unit
- Finance
- Record Identifier
- 9984773414802771
Metrics
11 Record Views