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    政大典藏 > College of Commerce > Department of Finance > Theses >  Item 140.119/146294
    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/146294

    Title: 下行風險是否能解釋橫斷面報酬:以加密貨幣市場為例
    Can downside risk explain the cross-section of cryptocurrency returns?
    Authors: 林冠宇
    Lin, Kuan-Yu
    Contributors: 岳夢蘭
    Yueh, Meng-Lan
    Lin, Kuan-Yu
    Keywords: 加密貨幣
    Downside risk
    Date: 2023
    Issue Date: 2023-08-02 13:01:17 (UTC+8)
    Abstract: 本文使用風險價值(Value at Risk)衡量個別加密貨幣的下行風險,並闡述了下行風險與橫斷面報酬的正向關係,在單變量投資組合分析、雙變量投資組合分析下的長短策略皆顯著為正,並且在使用三因子模型(Liu et al., 2022)進行風險調整後依然顯著為正。此外,本文使用Fama and MacBeth (1973)迴歸發現在個別貨幣的下行風險特徵與未來報酬具有顯著橫斷面關係。研究結果顯示橫斷面上,下行風險會被加密貨幣市場定價。另外,本文使用全樣本資料並控制貨幣、時間效果後,亦發現下行風險與未來報酬存在跨期關係(Intertemporal relation)。
    本文的額外研究發現股市情緒、加密貨幣關注度對於下行風險具有解釋能力,並且加密貨幣關注度在短、中長期的影響方向相反。本文分別使用Barber and Odean (2007)的關注度理論、Baker and Wurgler (2006)的情緒研究結果進行解釋,並且發現情緒假說能在中長期解釋本文的實證結果,而關注度理論則皆能解釋。
    In this paper, we use Value at Risk as a measure to downside risk, and discuss the positive relationship between downside risk and cross-sectional returns. We find that in both univariate and bivariate portfolio analyses, long and short strategies exhibit a significant positive relationship. Even after adjusting for risk using the three-factor model(Liu et al., 2022), this positive relationship remains significant. Furthermore, employing the Fama and MacBeth (1973) regression, we discover a significant cross-sectional relationship between the downside risk characteristics of individual currencies and future returns. The research results suggest that downside risk is priced in the cryptocurrency market at the cross-sectional level. Additionally, when we analyze the full sample data while controlling for entity and time effects, we also find a cross-period relationship (intertemporal relation) between downside risk and future returns.
    Moreover, our additional research reveals that stock market sentiment and cryptocurrency attention have explanatory power for downside risk. Interestingly, the impact of cryptocurrency attention on downside risk differs in the short and medium to long term. We employ the attention theory proposed by Barber and Odean (2007) and the sentiment research findings of Baker and Wurgler (2006) to explain these results. We find that the sentiment hypothesis can explain the empirical findings in the medium to long term, while the attention theory is able to explain them consistently.
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    Anamika, Chakraborty, M., & Subramaniam, S. (2023). Does Sentiment Impact Cryptocurrency? Journal of Behavioral Finance, 24(2), 202-218.
    Ang, A., Chen, J., & Xing, Y. (2006). Downside Risk. The Review of Financial Studies, 19(4), 1191-1239.
    Atilgan, Y., Bali, T. G., Demirtas, K. O., & Gunaydin, A. D. (2020). Left-tail momentum: Underreaction to bad news, costly arbitrage and equity returns. Journal of financial economics, 135(3), 725-753.
    Bai, J., Bali, T. G., & Wen, Q. (2019). Common risk factors in the cross-section of corporate bond returns. Journal of financial economics, 131(3), 619-642.
    Baker, M., & Wurgler, J. (2006). Investor Sentiment and the Cross-Section of Stock Returns. The Journal of Finance, 61(4), 1645-1680.
    Bali, T. G., Demirtas, K. O., & Levy, H. (2009). Is There an Intertemporal Relation between Downside Risk and Expected Returns? The Journal of Financial and Quantitative Analysis, 44(4), 883-909.
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    Detzel, A., Liu, H., Strauss, J., Zhou, G., & Zhu, Y. (2021). Learning and predictability via technical analysis: Evidence from bitcoin and stocks with hard-to-value fundamentals. Financial Management, 50(1), 107-137.
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    Liu, Y., & Tsyvinski, A. (2020). Risks and Returns of Cryptocurrency. The Review of Financial Studies, 34(6), 2689-2727.
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    Zhang, W., Li, Y., Xiong, X., & Wang, P. (2021). Downside risk and the cross-section of cryptocurrency returns. Journal of Banking & Finance, 133, 106246.
    Description: 碩士
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0110357036
    Data Type: thesis
    Appears in Collections:[Department of Finance] Theses

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