Savva Shanaev, Efan Johnson, Mikhail Vasenin, Humnath Panta and Binam Ghimire
The purpose of this paper is to estimate the implications of illicit market use for the value of Bitcoin in an event studies framework.
Abstract
Purpose
The purpose of this paper is to estimate the implications of illicit market use for the value of Bitcoin in an event studies framework.
Design/methodology/approach
This study uses a data set of 58 state-level marijuana decriminalisation and legalisation bills and referenda in the USA in 2010–2022.
Findings
Decriminalisation is associated with a strong and consistent positive Bitcoin price response around the event, recreational legalisation induces a more ambiguous reaction and medical legalisation is found to have a negative albeit small impact on Bitcoin value. This suggests decriminalisation enhances shadow economy use value of Bitcoin, whereas recreational and medical legalisation are not consistently reducing illicit drug cryptomarket activity. The effects are robust to various estimation windows, in subsamples, and also when outliers, heavy tails, conditional heteroskedasticity and state size are accounted for.
Originality/value
New to the literature, the choice of US marijuana bills, specifically as sample events, is based on both theoretical and empirical grounds.
Details
Keywords
Savva Shanaev, Nikita Shimkus, Binam Ghimire and Satish Sharma
The purpose of this paper is to study LEGO sets as a potential alternative asset class. An exhaustive sample of 10,588 sets is used to generate inferences regarding long-term LEGO…
Abstract
Purpose
The purpose of this paper is to study LEGO sets as a potential alternative asset class. An exhaustive sample of 10,588 sets is used to generate inferences regarding long-term LEGO performance, its diversification benefits and return determinants.
Design/methodology/approach
LEGO set performance is studied in terms of equal- and value-weighted portfolios, sorts based on set characteristics and cross-sectional regressions.
Findings
Over 1966–2018, LEGO value-weighted index accounted for survivorship bias enjoys 1.20% inflation-adjusted return per annum, well below 5.54% for equities. However, the defensive properties of LEGO are considerable, as including 5%–25% of LEGO in a diversified portfolio is beneficial for investors with varying levels of risk aversion. LEGO secondary market is relatively internationalised, with investors from larger economies, countries with higher per capita incomes and less income inequality are shown to trade LEGO more actively.
Practical implications
LEGO investors derive non-pecuniary utility that is separable from their risk-return profile. LEGO is not exposed to any of the Fama-French factors, however, set-specific size and value effects are also well-pronounced on the LEGO market, with smaller sets and sets with lower price-to-piece ratio exhibiting higher yields. Older sets are also enjoying higher returns, demonstrating a liquidity effect.
Originality/value
This is the first study to investigate the investment properties of LEGO as an alternative asset class from micro- and macro-financial perspectives that overcomes many survivorship bias limitations prevalent in earlier research. LEGO trading is shown to be an important source of valuable data to enable original robustness checks for prominent theoretical concepts from asset pricing and behavioural finance literature.
Details
Keywords
This paper aims to examine the stock market performance of knowledge-intensive employee-owned firms.
Abstract
Purpose
This paper aims to examine the stock market performance of knowledge-intensive employee-owned firms.
Design/methodology/approach
It constructs a portfolio comprising stocks of employee-owned wealth management companies listed in the UK Employee Ownership Index. A simple equal-weighted portfolio simulation strategy with annual rebalancing is employed and returns are analysed for the period 01.2002–12.2015.
Findings
The employee-owned firms consistently generate significantly higher returns, averaging 13% per annum. During favourable market conditions, the returns are even more significant at 16.40% higher than the market average annual returns. The outperformance persists in single-year and five-year investment periods, full and sub-sample periods, including bullish, stable and challenging economic times and even at high transaction costs and zero dividends. This superior performance is linked to a positive feedback loop created by homogeneous knowledge-workers who are incentivised to perform better in employee-owned business setting through participative decision-making and exhibiting risk aversion skills.
Practical implications
Adoption of the employee ownership model of running a business can be highly rewarding within knowledge-intensive firms. This study emphasises the need for a comprehensive database of employee-owned companies, which is currently lacking in the UK.
Originality/value
No prior study could be found to have studied the relationship between employee-owned knowledge-intensive firms and their stock market performance.