Data from: Buzz factor or innovation potential: what explains cryptocurrencies' returns?

Cryptocurrencies have become increasingly popular since the introduction
of bitcoin in 2009. In this paper, we identify factors associated with
variations in cryptocurrencies’ market values. In the past, researchers
argued that the “buzz” surrounding cryptocurrencies in online media
explained their price variations. But this observation obfuscates the
notion that cryptocurrencies, unlike fiat currencies, are technologies
entailing a true innovation potential. By using, for the first time, a
unique measure of innovation potential, we find that the latter is in fact
the most important factor associated with increases in cryptocurrency
returns. By contrast, we find that the buzz surrounding cryptocurrencies
is negatively associated with returns after controlling for a variety of
factors, such as supply growth and liquidity. Also interesting is our
finding that a cryptocurrency’s association with fraudulent activity is
not negatively associated with weekly returns—a result that further
qualifies the media’s influence on cryptocurrencies. Finally, we find that
an increase in supply is positively associated with weekly returns. Taken
together, our findings show that cryptocurrencies do not behave like
traditional currencies or commodities—unlike what most prior research has
assumed—and depict an industry that is much more mature, and much less
speculative, than has been implied by previous accounts.