Bitcoin as an alternative investment vehicle

Bitcoin as an alternative investment vehicle This paper documents time series momentum in Bitcoin returns. The paper finds persistence in returns for one to 8 weeks that partially reverses over longer horizons, consistent with sentiment theories of initial under-reaction and delayed over-reaction. The time series momentum in Bitcoin returns is similar to that of the other asset returns while the time span is much shorter. This may be due to much quicker nature and shorter term memory of Bitcoin investors. A combined portfolio of S&P500 and Bitcoin momentum strategy shows enhanced expected return, skewness, kurtosis and Value at Risk for given levels of portfolio return volatility. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Information Technology and Management Springer Journals

Bitcoin as an alternative investment vehicle

Information Technology and Management, Volume 18 (4) – Sep 30, 2016

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Publisher
Springer Journals
Copyright
Copyright © 2016 by Springer Science+Business Media New York
Subject
Business and Management; IT in Business; Data Structures, Cryptology and Information Theory; Operations Research/Decision Theory; Computer Communication Networks; Business and Management, general
ISSN
1385-951X
eISSN
1573-7667
DOI
10.1007/s10799-016-0264-6
Publisher site
See Article on Publisher Site

Abstract

This paper documents time series momentum in Bitcoin returns. The paper finds persistence in returns for one to 8 weeks that partially reverses over longer horizons, consistent with sentiment theories of initial under-reaction and delayed over-reaction. The time series momentum in Bitcoin returns is similar to that of the other asset returns while the time span is much shorter. This may be due to much quicker nature and shorter term memory of Bitcoin investors. A combined portfolio of S&P500 and Bitcoin momentum strategy shows enhanced expected return, skewness, kurtosis and Value at Risk for given levels of portfolio return volatility.

Journal

Information Technology and ManagementSpringer Journals

Published: Sep 30, 2016

References

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