加密货币收益的横截面

IF 2.2 Q2 BUSINESS, FINANCE

Review of Asset Pricing Studies Pub Date : 2022-03-03 DOI:10.1093/rapstu/raac007

Nicola Borri, Kirill Shakhnov

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引用次数: 0

摘要

在给定的时间点，比特币在不同国家的交易所或不同货币的价格是不同的。现有文献将最大的价格差异归因于摩擦，如市场细分，交易平台宣传如何根据这些信息执行交易。在考虑了所有交易成本和交易限制后，我们对这些价格差异提供了一种新颖的基于风险的解释。更昂贵的比特币对的比特币价格风险更高，因为对于加密货币投资者来说，在总体流动性和投资者情绪较低的糟糕时期，它们贬值得更多。

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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The Cross-Section of Cryptocurrency Returns

At a given point in time, bitcoin prices are different on exchanges located in different countries, or against different currencies. While existing literature attributes the largest price differences to frictions, like market segmentation, trading platforms advertize how to execute trades based on this information. We provide a novel risk-based explanation of these price differences for a sample containing the most reputable exchanges and after accounting for all transaction costs and limitations to trade. Bitcoin prices for more expensive pairs are riskier because they depreciate more in bad times for cryptocurrency investors, when aggregate liquidity and investor sentiment are lower.

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来源期刊

Review of Asset Pricing Studies BUSINESS, FINANCE-

CiteScore

19.80

自引率

0.80%

发文量

期刊介绍： The Review of Asset Pricing Studies (RAPS) is a journal that aims to publish high-quality research in asset pricing. It evaluates papers based on their original contribution to the understanding of asset pricing. The topics covered in RAPS include theoretical and empirical models of asset prices and returns, empirical methodology, macro-finance, financial institutions and asset prices, information and liquidity in asset markets, behavioral investment studies, asset market structure and microstructure, risk analysis, hedge funds, mutual funds, alternative investments, and other related topics. Manuscripts submitted to RAPS must be exclusive to the journal and should not have been previously published. Starting in 2020, RAPS will publish three issues per year, owing to an increasing number of high-quality submissions. The journal is indexed in EconLit, Emerging Sources Citation IndexTM, RePEc (Research Papers in Economics), and Scopus.