{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,8,14]],"date-time":"2026-08-14T20:34:00Z","timestamp":1786739640137,"version":"build-2736575974"},"posted":{"date-parts":[[2026]]},"group-title":"SSRN","reference-count":0,"publisher":"Elsevier BV","content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":[],"abstract":"<jats:p>A $100 million net flow into spot Bitcoin ETFs is associated with a 53 basis point same-day Bitcoin return. Using daily net flow data and ETF trading data from Databento for the five largest U.S. spot Bitcoin ETFs over January 2024 to April 2025 (313 trading days), I estimate Kyle's lambda at 53 bps\/$100M under OLS and 74 bps under instrumental variable estimation (first-stage F = 21.58). Flows explain 21% of daily return variation (t = 8.99) and predict next-day returns (Newey-West t = 3.12). Granger causality reveals a bidirectional feedback loop: flows cause returns and returns cause subsequent flows (\u03b2 = 0.47, t = 9.75). The paper's central finding concerns price impact dynamics. Unconditionally, post-flow cumulative returns show no reversal at any horizon from 1 to 20 days, appearing to contradict equity market evidence (Lou 2012; Coval and Stafford 2007). However, after controlling for future flows, individual flow shocks reverse significantly (t =-2.42 to-3.99 at all horizons). The resolution is a flow-persistence illusion: each day's price impact is temporary, but strong flow autocorrelation generates new shocks before prior reversals complete, producing cumulative drift that mimics permanent impact. The total price impact reaches 96 bps\/$100M at 10 days (t = 4.49)-nearly double the same-day estimate-not because individual shocks are permanent, but because persistent flows accumulate.<\/jats:p>","DOI":"10.2139\/ssrn.6564338","type":"posted-content","created":{"date-parts":[[2026,4,20]],"date-time":"2026-04-20T16:15:04Z","timestamp":1776701704000},"source":"Crossref","is-referenced-by-count":0,"title":["The Price Impact of Spot Bitcoin ETF Flows"],"prefix":"10.2139","author":[{"ORCID":"https:\/\/orcid.org\/0009-0005-8477-9393","authenticated-orcid":true,"given":"Boon Chuan","family":"Lim","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"78","container-title":[],"original-title":[],"deposited":{"date-parts":[[2026,8,14]],"date-time":"2026-08-14T19:30:49Z","timestamp":1786735849000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.ssrn.com\/abstract=6564338"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2026]]},"references-count":0,"URL":"https:\/\/doi.org\/10.2139\/ssrn.6564338","relation":{},"subject":[],"published":{"date-parts":[[2026]]},"subtype":"preprint"}}