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Value Premium, Network Adoption, and Factor Pricing of Crypto Assets

主讲人: 汤珂
主讲人简介:
清华大学社会科学学院经济所所长。主要研究方向为大宗商品市场(包括加密货币、数据要素)、金融科技和数字经济。在Journal of Finance,Review of Financial Studies等顶级英文期刊上发表多篇论文,目前担任国际期刊Quantitative Finance执行编辑以及Journal of Commodity Markets副主编。获得过中宣部四个一批暨哲学社会科学领军人才、国家杰出青年科学基金、国家级人才计划入选者等奖励,入选2020年爱思唯尔中国高被引学者。
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简介:
We document characteristics-based return anomalies in a large cross-section (>4,000) of crypto assets. Cryptocurrency returns exhibit momentum in the largest-cap group, reversals in other size groups, and strong crypto value and network adoption premia, from which we derive two novel factors to add to the cryptocurrency versions of market, size, and momentum factors. The resulting C-5 model outperforms extant models in pricing the cross-section of crypto assets and test portfolios in-sample and out-of-sample. We also provide the first comprehensive classification of all major cryptocurrencies based on their economic functionality. We then adopt methodologies from international finance to demonstrate significant market segmentation across token categories, underscoring the importance for considering token categories in investment and regulatory policymaking.
时间: 2022-07-06(Wednesday)16:40-18:20 调整为 2022-7-10,下午2:30开始
地点: 线上腾讯会议
讲座语言: 中文
期数: 厦门大学经济学科2022夏数字经济系列讲座第三讲
主办单位: 经济学院、王亚南经济研究院
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类型:
系列讲座
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