The Bitcoin Premium: A Persistent Puzzle

Matthew S. Wilson
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Abstract

On average, stocks have a much higher rate of return than bonds; this has led to research on the equity premium puzzle. Similarly, Bitcoin outperforms stocks; I call this the Bitcoin premium puzzle. I show that standard macroeconomic models predict a low or negative Bitcoin premium. Though Bitcoin is extremely volatile, the model is rejected even when the coefficient of relative risk aversion is above 10. The Bitcoin premium declined after a structural break in late 2013. However, the puzzle is persistent; there has been no downward trend in the premium since.
比特币溢价:持久之谜
平均而言,股票的收益率远高于债券;这导致了对股票溢价之谜的研究。同样,比特币的表现也优于股票;我称之为比特币溢价之谜。我的研究表明,标准的宏观经济模型预测比特币的溢价率为低或负。虽然比特币的波动性极大,但即使相对风险规避系数超过 10,模型也会被否定。比特币溢价在 2013 年底出现结构性中断后有所下降。然而,这一谜团持续存在;自那以后,溢价没有出现下降趋势。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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