题　目：The Cryptocurrency Participation Puzzle

嘉　宾：Jun Tu, Associate Professor, Lee Kong Chian School of Business, Singapore Management University

主持人：张麒，副教授，上海交通大学安泰经济与管理学院

时　间：2022年12月7日（周三）16:30-18:00

地　点：上海交通大学徐汇校区安泰B207室（线下报告，线上同步。校内师生如需获取会议号和密码，请于12月6日中午12点前发送电邮至veraliuqi@sjtu.edu.cn）

内容简介:

We show that ongoing zero portfolio weights in cryptocurrency are surprisingly difficult to generate in a standard Bayesian portfolio theory framework. With ten years of prior data, equity market investors would need very pessimistic priors on mean returns to justify never having bought cryptocurrency: -10.6% per month for Bitcoin, and -19.6% per month for a diversified portfolio of cryptocurrencies. Moreover, most priors that involve never purchasing cryptocurrency imply that investors should short cryptocurrency. Optimal absolute weights are generally small but non-trivial (1-5%), frequently positive, and fairly smooth despite returns being volatile. Under a wide range of priors, the certainty equivalent gains from cryptocurrency are comparable to international diversification and exceed the size anomaly. Trading costs (ambiguity aversion, storage, fees) would need to be enormous to justify non-investment, over 21% per year for Bitcoin and 39% for a diversified cryptocurrency portfolio.

演讲人简介：

Jun Tu is an Associate professor at Lee Kong Chian School of Business Singapore Management University. His research spans Behavioral Finance, Empirical Asset Pricing, FinTech, Corporate Finance, Media and Asset markets, Big Data and Machine Learning, Textual Analysis, Financial Econometrics, International Finance. His research has been published in top academic journals such as the Journal of Finance, the Review of Financial Studies, the Journal of Financial Economics, Journal of Financial and Quantitative Analysis, and Management Science.

欢迎广大师生参加!