NFT Bubbles

Andrea Barbon and Angelo Ranaldo
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Andrea Barbon: University of St. Gallen; Swiss Finance Institute

No 23-20, Swiss Finance Institute Research Paper Series from Swiss Finance Institute

Abstract: By investigating nonfungible tokens (NFTs), we provide the first systematic study of retail investor behavior through asset bubbles. Given that NFTs are recorded in public blockchains, we are able to track investor behavior over time, leading to the identification of numerous price run-ups and crashes. Our study reveals that agent-level variables, such as investor sophistication, heterogeneity, and wash trading, in addition to aggregate variables, such as volatility, price acceleration, and turnover, significantly predict bubble formation and price crashes. We find that sophisticated investors consistently outperform others and exhibit characteristics consistent with superior information and skills, supporting the narrative surrounding asset pricing bubbles.

Keywords: Financial Bubbles; Nonfungible Tokens; Agent-level; Blockchain (search for similar items in EconPapers)
JEL-codes: G12 G14 (search for similar items in EconPapers)
Pages: 40 pages
Date: 2023-03
New Economics Papers: this item is included in nep-ban, nep-fmk and nep-pay
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Working Paper: NFT Bubbles (2023)
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Persistent link: https://EconPapers.repec.org/RePEc:chf:rpseri:rp2320

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