Predictability of crypto returns: The impact of trading behavior

We evaluate the ability of futures market participants' trading behavior decisions to predict cryp-tocurrency returns. We establish that cryptocurrency returns are driven and predicted by the trading behavior of speculative retail traders. We document that the net-short trading behavior of speculative retail traders is an economically strong and statistically significant determinant of cryptocurrency returns. Further, our findings indicate that changes in the net-short trading behavior remained strong even after controlling for other known predictors such as investor attention, crypto market uncertainty, sentiment, and prior returns.& COPY; 2023 Elsevier B.V. All rights reserved.