数字技术与经济金融前沿论坛（第37期）

摘要：

This paper analyzes the risk and return dynamics associated with cryptocurrency carry trade. A cross-sectional carry trade strategy, involving the purchase of high-interest cryptocurrencies and shorting of low-interest cryptocurrencies, yields an annualized return of 43.4% with a Sharpe ratio of 0.74. Our results show that the carry returns cannot be explained by prevailing cryptocurrency factors, including market, size, momentum, volatility, liquidity, downside risk, and platform collapse risks. Additionally, our analysis does not find any substantial connection between these returns and the fiat currency carry trade. Instead, our findings suggest that a significant portion of cryptocurrency carry trade returns can be attributed to a premium for equity market volatility risk. This study highlights the inter-asset class linkages between equity risk factors and cryptocurrency returns.

主讲人介绍：

路磊，加拿大曼尼托巴大学阿斯博商学院金融学教授和Bryce Douglas金融学讲席教授，博士生导师。2007年毕业于加拿大麦吉尔大学，获得金融学博士学位。先后任教于上海财经大学金融学院(2007-2011)和北京大学光华管理学院(2011-2016)。路磊教授的研究方向包括资产定价 (理论和实证)，投资者行为，国际金融和中国金融市场。研究成果发表在金融学和经济学期刊近40篇，包括Management Science, Journal of Financial and Quantitative Analysis, Journal of Corporate Finance, Journal of Financial Markets, Financial Management, Journal of Futures Markets, Journal of Economic Dynamics and Control, Economic Theory, 《管理科学学报》和《金融研究》等期刊。路磊教授主持过加拿大社会科学和人文研究理事会基金项目，国家自然科学基金面上项目，上海市浦江人才计划项目以及中国金融期货交易所的研究项目。目前担任Accounting and Finance, China Finance Review International, Financial Review以及Journal of Management Science and Engineering杂志的副主编。