The Bitcoin Premium: A Persistent Puzzle-Reference-Cited by-同舟云学术

The Bitcoin Premium: A Persistent Puzzle

Published:2024-01-25 Issue:0 Volume:0 Page:
ISSN:1935-1690
Container-title:The B.E. Journal of Macroeconomics
language:en
Short-container-title:

Author:

Wilson Matthew S.¹^ORCID

Affiliation:

1. Robins School of Business , University of Richmond , Richmond , USA

Abstract

Abstract On average, stocks have a much higher rate of return than bonds; this has led to research on the equity premium puzzle. Similarly, Bitcoin outperforms stocks; I call this the Bitcoin premium puzzle. I show that standard macroeconomic models predict a low or negative Bitcoin premium. Though Bitcoin is extremely volatile, the model is rejected even when the coefficient of relative risk aversion is above 10. The Bitcoin premium declined after a structural break in late 2013. However, the puzzle is persistent; there has been no downward trend in the premium since.

Publisher

Walter de Gruyter GmbH

Subject

Economics and Econometrics

Link

https://www.degruyter.com/document/doi/10.1515/bejm-2023-0107/pdf

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