耶鲁大学经济学教授Aleh Tsyvinski和经济学博士候选人Yukun Liu研究了比特币(BTC)、Ripple (XRP)和Ethereum (ETH)的历史价格走势。BTC数据在2011年到2018年之间进行跟踪，XRP和ETH的性能分别在2012年和2015年开始分析。这些经济学家在周一发表的题为《加密货币的风险和回报》的报告中描述了他们的发现。
Yale University financial experts have outlined a basic strategy for identifying the best buying opportunities for some of the largest cryptocurrencies by market capitalization.
Yale economics professor Aleh Tsyvinski and economics Ph.D. candidate Yukun Liu, have studied the historical price trends of Bitcoin (BTC), Ripple (XRP) and Ethereum (ETH). The BTC data was tracked between 2011 and 2018, while the XRP and ETH performance was analyzed since their inception in 2012 and 2015, respectively. The economists described their findings in a report titled “Risks and Returns of Cryptocurrency”, published on Monday.
Tsyvinski and Liu say in the paper that cryptocurrencies have “low exposure” to traditional asset classes, such as stock, currencies and commodities. The research also calls into question popular explanations that supply factors such as mining costs, price-to-dividend ratio, or realized volatility are useful for predicting the behavior of cryptocurrency returns. Instead, the researchers assert that “cryptocurrency returns can be predicted by factors which are specific to cryptocurrency markets.”
Momentum effect and investor attention
The economists have identified two factors to predict the crypto assets’ future performance. The first is called the momentum effect, which basically means that when a cryptocurrency increases in value, it will tend to rise even higher. This trend applies to Bitcoin more, but is “still statistically significant” for Ethereum and Ripple. To take advantage of momentum effect, the experts suggest an investor should buy Bitcoin if its value increases more than 20% in the previous week.
The second factor strongly influencing cryptocurrency is the measure of investor attention, which is a correlation between crypto prices and the number of posts and queries for cryptocurrencies on social media and in search engines. High investor attention predicts high future returns over 1-2 week horizons for Bitcoin, a 1-week horizon for Ripple, and 1-, 3-, and 6-week horizons for Ethereum, the paper explains.
“Of course, one has to remember that, as with any other assets, past performance is not a guarantee of future returns. Maybe cryptocurrency will completely change its behavior, but currently the market does not think it will,” Tsyvinski stated in an interview published on Yales’ website.
Every portfolio should include at least 6% Bitcoin
According to the Yale experts, Bitcoin is an essential part of a digital asset investor's holding. In their view, Bitcoin should normally account for at least 6% of a digital asset portfolio, but that those who are less enthusiastic about it could consider having it comprise 4% but at a minimum 1% for diversification purposes.