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- W2906849101 abstract "We examine the predictions of the resale option hypothesis (Scheinkman and Xiong, 2003) in cryptocurrency markets. The resale option hypothesis yields testable implications on the relationship between the level and volatility of mispricing, and the degree of heterogeneous beliefs. Using turnover as a proxy for heterogeneity, we find evidence supporting the resale option hypothesis. These findings are persistent across various types of cryptocurrencies, and support the notion that cryptocurrencies trade above intrinsic value. Futhermore, we conduct two backtests to show that portfolios with higher turnover or resale option characteristics underperform portfolios with lower turnover or resale option characteristics. This supports the theory that disagreement is negatively related to future returns for positive biased assets (see Atmaz and Basak, 2018)." @default.
- W2906849101 created "2019-01-11" @default.
- W2906849101 creator A5087338802 @default.
- W2906849101 date "2018-01-01" @default.
- W2906849101 modified "2023-09-27" @default.
- W2906849101 title "Resale Options and Cryptocurrency Mispricing" @default.
- W2906849101 doi "https://doi.org/10.2139/ssrn.3253208" @default.
- W2906849101 hasPublicationYear "2018" @default.
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