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Role of hedging on crypto returns predictability: A new habit-based explanatio
Finance Research Letters ( IF 10.4 ) Pub Date : 2023-05-16 , DOI: 10.1016/j.frl.2023.104009 Kwamie Dunbar, Johnson Owusu-Amoako
中文翻译:
对冲对加密货币回报可预测性的作用:一种新的基于习惯的解释
更新日期:2023-05-16
Finance Research Letters ( IF 10.4 ) Pub Date : 2023-05-16 , DOI: 10.1016/j.frl.2023.104009 Kwamie Dunbar, Johnson Owusu-Amoako
We evaluate the ability of risk-averse commercial traders’ net position in futures to predict changes in cryptocurrency returns, which can be useful to cryptocurrency-market-specific measures developed in the behavioral finance literature. Notably, we show that the hedging factor has a statistically significant and economically important effect on the predictability of crypto returns via its moderating effects on the risk-aversion and uncertainty channels. Moreover, the out-of-sample evidence suggests significant return predictability for the hedging factor.
中文翻译:
对冲对加密货币回报可预测性的作用:一种新的基于习惯的解释
我们评估了规避风险的商业交易者在期货中的净头寸预测加密货币回报变化的能力,这对于行为金融学文献中开发的加密货币市场特定指标很有用。值得注意的是,我们表明,对冲因素通过其对风险规避和不确定性渠道的调节作用,对加密货币回报的可预测性具有统计显着性和经济上的重要影响。此外,样本外证据表明对冲因子的回报具有显着的可预测性。