NBER -加密货币是否与众不同？来自零售交易的证据-64页

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NBER WORKING PAPER SERIES

ARE CRYPTOS DIFFERENT? EVIDENCE FROM RETAIL TRADING

Shimon Kogan

Igor Makarov

Marina Niessner

Antoinette Schoar

Working Paper 31317

http://www.nber.org/papers/w31317

NATIONAL BUREAU OF ECONOMIC RESEARCH

1050 Massachusetts Avenue

Cambridge, MA 02138

June 2023

We 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.

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 Trading

Shimon Kogan, Igor Makarov, Marina Niessner, and Antoinette Schoar

NBER Working Paper No. 31317

June 2023

JEL No. G12,G14,G41

ABSTRACT

Trading 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 Kogan

Reichman University

8 Ha'universita Street

Herzliya

Israel

skogan@wharton.upenn.edu

Igor Makarov

London School of Economics

Houghton Street

London WC2A 2AE

United Kingdom

i.makarov@lse.ac.uk

Marina Niessner

University of Pennsylvania

3641 Locust Walk

Philadelphia, PA 19104

marina.niessner@gmail.com

Antoinette Schoar

MIT Sloan School of Management

100 Main Street, E62-638

Cambridge, MA 02142

and NBER

aschoar@mit.edu

Are Cryptos Diﬀerent? 1

1. Introduction

Cryptocurrency prices over the last decade have famously been marked by signiﬁcant volatility and

large boom-and-bust cycles, which have given rise to new investment mantras, such as FOMO — “fear of

missing out” or FUD — “fear, uncertainty and doubt.” While a large and vibrant literature has looked

at retail trading in traditional assets classes, little evidence exists on how investors trade in these new

assets. On the one hand, given the novelty of cryptocurrency markets, investors might have developed

diﬀerent valuation models for cryptocurrencies compared to traditional assets, which shape how they

form price expectations in cryptocurrencies. On the other hand, cryptocurrencies might have also drawn

in new types of investors, and thus any diﬀerences between cryptocurrencies and other assets might be

a function of the composition of investors who participate in these markets.

Unlike traditional markets, trading in cryptocurrencies has been dominated by retail investors. To

study their investment behavior, we use a dataset of trades from 200,000 individual retail accounts on

eToro, a large international retail discount brokerage, over the period from 2015-2019. eToro was one

of the ﬁrst platforms to allow retail investors to trade in cryptocurrencies along with traditional assets.

This unique setup allows us to analyze diﬀerences in trading behavior across assets, holding constant

individual preferences and circumstances.

We document a set of new facts by contrasting trading in cryptocurrencies with trading in stocks

and commodities. First, we show a stark dichotomy in investors’ trading strategies across diﬀerent

assets. Retail investors largely trade contrarian in the stock market and gold, yet they are willing to

hold on to their crypto currency investments even after large price movements, which results in investors

following a momentum-like strategy in crypto currencies.1Importantly, these results even hold when we

focus on the same investors trading in diﬀerent asset classes. Second, individual characteristics do not

explain the diﬀerences in how investors trade in cryptocurrencies compared to stocks, suggesting that

our results are not primarily driven by diﬀerences in investor composition or clientele eﬀects. Finally, we

show that our results are not the outcome of inattention, diﬀerential preferences for lottery-like assets,

diﬀerences in fees, or the lack of cash ﬂow information about cryptocurrencies. We conjecture that

retail investors have a model of cryptocurrency prices, where positive returns increase the likelihood of

future widespread adoption, which in turn drives up asset prices (and vice versa when prices go down),

consistent with Cong et al. (2020) or Sockin and Xiong (2023). Investors do not have the same price

expectations for other traditional assets where wider adoption has already happened.

To analyze how investors form price expectations we look at their portfolio share in a given stock or

1This crypto trading strategy is often referred to as HODLING among crypto investors on social media, since an early

investor mis-spelled "holding on" as "hodling on."

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摘要：

NBERWORKINGPAPERSERIESARECRYPTOSDIFFERENT?EVIDENCEFROMRETAILTRADINGShimonKoganIgorMakarovMarinaNiessnerAntoinetteSchoarWorkingPaper31317http://www.nber.org/papers/w31317NATIONALBUREAUOFECONOMICRESEARCH1050MassachusettsAvenueCambridge,MA02138June2023WethankJohnCampbell(discussant),XingHuang,EdnaLopez...

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