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Predictive regressions over lagged cryptocurrency returns and investor-attention proxies.
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Returns, factors, and adoption · predictive
Liu and Tsyvinski report a strong time-series momentum relationship and attention-based return predictability for Bitcoin, XRP, and Ethereum in their historical study.
Liu and Tsyvinski report a strong time-series momentum relationship and attention-based return predictability for Bitcoin, XRP, and Ethereum in their historical study.
The result is present in the peer-reviewed source. Bathymark has not reproduced the portfolio construction or tested post-publication decay.
The source reports strong time-series momentum and attention-based return predictability.
This claim record depends on a reported relationship or method, not a single headline number. No summary metric is manufactured.
Predictive regressions over lagged cryptocurrency returns and investor-attention proxies.
Cryptocurrency returns, lagged returns, and crypto-specific attention proxies.
The paper result is not yet translated into a fee, spread, slippage, funding, or capacity-aware Bathymark strategy test.
Bathymark stores curated bibliographic facts and its own paraphrase. It does not store the source abstract or full text. Open the original work to inspect the complete analysis.
Yukun Liu, Aleh Tsyvinski · The Review of Financial Studies · 2021
Journal version reviewed. The NBER record is used only as an accessible version trail.
Signal Lab shows current market evidence, not a replication of this paper.
Reviewed 2026-07-13; next review 2026-10-13. The paper record is not a recommendation, forecast, or proof of current profitability. Information, not financial advice.