据FM官网显示，来自爱荷华大学的Jon A. Garfinkel、国立台湾大学的Lawrence Hsiao、北京大学的胡丹琪，合作撰写的论文“Disagreement and returns: The case of cryptocurrencies”，在国际金融学权威期刊《Financial Management》线上正式发表。
Title: Disagreement and returns: The case of cryptocurrencies
分歧与收益：加密货币案例分析
Jon A. Garfinkel
爱荷华大学
Lawrence Hsiao
国立台湾大学
胡丹琪
北京大学 光华管理学院
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.
本文首次提供了基于投资者交易分歧对加密货币横截面日收益影响的证据，将异常交易量解释为投资者分歧，并发现支持米勒分歧模型的证据：当空头销售受到限制时，高异常交易量（即高分歧）的资产未来收益较低。进一步支持米勒模型的是，这些条件还与更高的即时订单不平衡相关，并且导致买卖活动的事后减少，其中买方活动的下降幅度大于卖方活动的下降幅度。相反，当某一币种启用保证金交易后，高分歧的影响消失。作者得出结论：在意见分歧可能是收益主导因素的情况下，价格乐观模型可以解释分歧与收益之间的关系。
疯狂暗示↓↓↓↓↓↓↓↓↓↓↓
