工商管理学院建院30周年
系列学术报告 第19场
报告题目：The Risk and Return of Cryptocurrency Carry Trade
报告人：加拿大曼尼托巴大学阿斯博商学院路磊教授
报告时间：2024年7月12日 10:00-12:00
报告地点：东北大学浑南校区文管学馆B座306
主办单位：金融系
报告摘要：
This paper provides a comprehensive analysis of the risk and return dynamics associated with cryptocurrency carry trade. The cross-sectional carry trade strategy using cryptocurrencies yields an annualized return of 49.3% with a Sharpe ratio of 0.81. Our investigation shows that the cryptocurrency returns cannot be explained by prevailing cryptocurrency factors, including market, size, momentum, volatility, downside-risk, and platform collapse risks. Moreover, our analysis fails to identify any substantial connection between these returns and geopolitical risks or fiat-currency carry trade. Our findings suggest that a significant portion of cryptocurrency carry trade returns can be regarded as a premium for equity market volatility risk. Our research highlights the inter-asset class linkages between equity risk factors and cryptocurrency returns.
报告人简介：路磊，加拿大麦吉尔大学金融学博士，加拿大曼尼托巴大学阿斯博商学院金融学终身教授、Bryce Douglas讲席教授，Journal of Management Science and Engineering副主编、China Finance Review International副主编。主要研究方向包括：资产定价、行为金融和中国金融市场。在Management Science、Journal of Financial and Quantitative Analysis、Journal of Corporate Finance、 Journal of Economic Dynamics and Control、Economic Theory等金融学和经济学英文期刊，《管理科学学报》、《金融研究》等中文期刊发表论文20余篇。曾主持加拿大社会科学和人文研究理事会（SSHRC）基金项目、国家自然科学基金面上项目及上海市浦江人才计划等研究项目。
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