Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/311833 
Year of Publication: 
2025
Series/Report no.: 
CFR Working Paper No. 25-02
Publisher: 
University of Cologne, Centre for Financial Research (CFR), Cologne
Abstract: 
This paper investigates how investors' abnormal attention affects the cross-section of cryptocurrency returns in the period from 2018 to 2022. We capture abnormal attention using the (log) number of Twitter posts on individual cryptocurrencies on the current day minus a 30-day average. Our results reveal that abnormal attention is positively associated with contemporaneous and one-day ahead crypto performance. Among the different Twitter tweets, return predictability arises due to Ticker-tweets from investors, but not due to tweets from the cryptocurrency channel. These Official-tweets, however, are able to forecast technological innovations on the blockchain.
Subjects: 
Bitcoin
cryptocurrencies
Twitter attention
textual sentiment
Document Type: 
Working Paper

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