Disagreement and returns: The case of cryptocurrencies
研究了投资者交易分歧对加密货币日回报的影响，发现高异常交易量（高分歧）的资产在卖空受限时未来回报更低，而保证金交易启动后该效应消失。
Abstract 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.