讲座题目：The Risk and Return of Cryptocurrency Carry Trade（加密货币套利交易的风险与收益）

主讲人：路磊 加拿大曼尼托巴大学Bryce Douglas金融学讲席教授

讲座时间：2024年12月04日9:00

讲座地点：学院210

讲座内容摘要：

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.

本文分析加密货币套利交易相关的风险和收益。横截面套利交易策略，包括买入高息加密货币和做空低息加密货币，年化回报率为43.4%，夏普率为0.74。结果表明，套利回报不能用流行的加密货币因素来解释，包括市场、规模、动量、波动性、流动性、下行风险和平台崩溃风险。此外，分析并未发现这些回报与法定货币套利交易之间存在任何实质性联系。相反，研究结果表明，加密货币套利交易回报的很大一部分可归因于股市波动风险的溢价。这项研究强调了股权风险因素与加密货币回报之间的资产类别间联系。

主讲人个人信息：

路磊，加拿大曼尼托巴大学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。路磊教授曾在上海财经大学金融学院和北京大学光华管理学院任教。研究方向包括资产定价 (理论和实证)，动态公司金融，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Journal of Financial and Quantitative Analysis、Management Science, Journal of Economic Dynamics and Control、Economic Theory等期刊。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。