Journal of Banking & Finance Vol. 178 2025
Social media-based attention and the cross-section of cryptocurrency returns
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.
- DOI
- 10.1016/j.jbankfin.2025.107518
- Volume
- 178
- Pages
- 107518
- Language
- en
- Sources
- crossref bibtex:phds-export.bib