岭南学术论坛－金融学系列Seminar－k in Mining and Cryptocurrency Returns: Evidence from Electricity Prices

第613期岭南学术论坛（金融学系列Seminar）

报告题目：Risk in Mining and Cryptocurrency Returns: Evidence from Electricity Prices

报  告 人：杨昊晰 (南开大学金融学院 副教授)

主  持 人：康俊卿（中山大学岭南学院 助理教授）

时       间：2022年5月13日（周五）下午14:30

地       点：岭南堂汪道涵会议室+线上（腾讯会议号：581-126-866）

语       言：中文+英文

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 (β_M) can positively predict the cross--section of future cryptocurrency returns across major exchanges. Further evidence reveals that the predictive power of β_M is more pronounced when estimating β_M 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. 

报告人介绍：

       杨昊晰，南开大学金融学院副教授。毕业于意大利Boccconi University, 取得金融学博士学位。主要研究方向包括：资产定价、宏观金融、金融计量以及金融风险管理等。主要研究成果曾发表在《经济研究》，Journal of Business & Economic Statistics，IMF Economic Review，Financial Management等国内外学术期刊。主持国家自然科学基金项目一项，曾荣获天津市社会科学成果二等奖。

        欢迎感兴趣的师生参加！

        中山大学岭南学术论坛分经济学和金融学两大系列，是定期邀请国内外优秀学者前来开展学术交流的平台。每系列每个月定期举办2-3次。目前已经成功举办多期，并得到了各界的高度评价。