Title: Risk in Mining and Cryptocurrency Returns: Evidence from Electricity Prices
Abstract: This study extends the production–based asset pricing framework into cryptocurrency markets by examining cryptocurrency miners’ optimization. Under q–theory, cryptocurrency miners optimally adjust the supply of cryptocurrencies to changes in electricity prices. The first–order condition of valuation function infers cryptocurrency returns from miners’ exposure to changes in electricity prices. Our empirical analysis confirms the model implications and shows that the rolling–window exposure of cryptocurrency returns to percentage changes in electricity prices (βM) can positively predict the cross–section of future cryptocurrency
returns across major exchanges. Further evidence reveals that the predictive power of βM is more pronounced when estimating βM with electricity prices from mining–intensive regions. A global risk–in–mining factor can explain, across different cryptocurrency exchanges, a series of well–documented cryptocurrency anomalies including the ones regarding cryptocurrency market capitalization and momentum.
个人简介
贾越珵，副教授，美国俄克拉荷马州立大学金融学博士。主要研究领域包括资产定价、机器学习、深度学习、大宗商品。在Journal of Banking and Finance, European Financial Management, Pacific-Basin Finance Journal等刊物上发表论文多篇。另有多篇论文在国际权威期刊送审后修订并重新提交。2018年以来深耕量化投资领域，在两家头部量化私募同时兼任股票量化中性策略投资经理与CTA策略投资经理，全权管理多只较大规模私募产品，业绩长期稳定优异。精通Python和C++编程在量化投资实践中的应用。
Time：Dec 15, 2022 12:15-13:30 pm
Place：学术会堂608