加密货币是否与众不同？来自零售交易的证据

NBER WORKING PAPER SERIESARE CRYPTOS DIFFERENT? EVIDENCE FROM RETAIL TRADINGShimon KoganIgor MakarovMarina NiessnerAntoinette SchoarWorking Paper 31317http://www.nber.org/papers/w31317NATIONAL BUREAU OF ECONOMIC RESEARCH1050 Massachusetts AvenueCambridge, MA 02138June 2023We thank John Campbell (discussant), Xing Huang, Edna Lopez Avila, Will Mullins, Cameron Peng, Lin Peng (discussant), Alessandro Previtero, Marco Sammon (discussant), and Donghwa Shin (discussant) for many valuable suggestions. We thank seminar and conference participants at University of Illinois at Urbana-Champaign, University of North Carolina, NBER Big Data, Villanova University, FSU Truist Beach Conference, University of Toronto (Rotman), Behavioral NBER, and Adam Smith Workshop for many helpful comments. We thank eToro for graciously providing their data. All remaining errors are our own. The views expressed herein are those of the authors and do not necessarily reflect the views of the National Bureau of Economic Research.NBER working papers are circulated for discussion and comment purposes. They have not been peer-reviewed or been subject to the review by the NBER Board of Directors that accompanies official NBER publications.© 2023 by Shimon Kogan, Igor Makarov, Marina Niessner, and Antoinette Schoar. All rights reserved. Short sections of text, not to exceed two paragraphs, may be quoted without explicit permission provided that full credit, including © notice, is given to the source.Are Cryptos Different? Evidence from Retail TradingShimon Kogan, Igor Makarov, Marina Niessner, and Antoinette SchoarNBER Working Paper No. 31317June 2023JEL No. G12,G14,G41ABSTRACTTrading in cryptocurrencies has grown rapidly over the last decade, primarily dominated by retail investors. Using a dataset of 200,000 retail traders from eToro, we show that they have a different model of the underlying price dynamics in cryptocurrencies relative to other assets. Retail traders in our sample are contrarian in stocks and gold, yet the same traders follow a momentum-like strategy in cryptocurrencies. Individual characteristics do not explain the differences in how people trade cryptocurrencies versus stocks, suggesting that our results are orthogonal to differences in investor composition or clientele effects. Furthermore, our findings are not explained by inattention, differences in fees, or preference for lotterylike stocks. We conjecture that retail investors hold a model of cryptocurrency prices, where price changes imply a change in the likelihood of future widespread adoption, which in turn pushes asset prices further in the same direction.Shimon KoganReichman University8 Ha'universita Street HerzliyaIsraelskogan@wharton.upenn.eduIgor MakarovLondon School of Economics Houghton StreetLondon WC2A 2AEUnited Kingdomi.makarov@lse.ac.ukMarina NiessnerUniversity of Pennsylvania3641 Locust WalkPhiladelphia, PA 19104marina.niessner@gmail.comAntoinette SchoarMIT Sloan School of Management 100 Main