Bitcoin Now Like Small-cap Stocks?

Does bitcoin now behave like a conventional financial asset? In their short November 2025 paper entitled “From Time-Series Momentum to Size-Factor Comovement: Bitcoin’s Continuing Evolution as a Financial Asset”, Samuel Rosen and Hongcheng Wang investigate the evolution of bitcoin. Specifically, they:

1. Perform autoregressions of weekly bitcoin returns to evaluate time-series momentum at horizons of one to eight weeks.
2. Regress bitcoin returns on returns of U.S. market, size and value equity factors and some financial variables to assess bitcoin behavior in equity context.

To assess changes in relationships over time, they employ rolling windows, split samples and dummy regression variables. Using daily bitcoin returns and monthly returns for the selected equity factors and other financial variables during 2011 through 2024, they find that: (more…)