Rationally justifying Bitcoin’s immense price fluctuations has remained a persistent challenge for both investors and researchers in this field. A primary reason is our potential weakness toward robustly quantifying unquantifiable risks or ambiguity in Bitcoin returns. This paper introduces a behavioral channel to argue that the degree of ambiguity aversion is a prominent source of abnormal returns from investment in Bitcoin markets. Using data over a ten-year period, we show that Bitcoin investors exhibit, on average, an increasing aversion to ambiguity. Furthermore, investors are found to earn abnormal returns only when ambiguity is low. Robustness exercises reassure on the validity of our results.

合理地证明比特币巨大的价格波动是该领域的投资者和研究人员面临的持续挑战。一个主要原因是我们在稳健量化比特币回报中无法量化的风险或模糊性方面存在潜在弱点。本文引入了一个行为渠道，以论证歧义厌恶程度是比特币市场投资异常回报的一个突出来源。使用 10 年的数据，我们表明比特币投资者平均表现出越来越厌恶歧义。此外，发现投资者只有在模糊性较低时才能获得异常回报。稳健性练习确保我们的结果的有效性。