摘要翻译:
与以往基于无条件beta或固定beta的研究相比,本研究采用条件beta来评估加密货币。这是建立加密货币定价模型的一种新方法。因此,我们预计条件贝塔的使用将增加以往定价模型中因素的解释能力。此外,本研究也是将不确定性因素引入加密货币定价模型的先驱。早期对加密货币定价的研究忽略了这一因素。然而,它是加密货币估值的一个重要因素,因为不确定性导致投资者情绪并影响价格。
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英文标题:
《Conditional beta and uncertainty factor in the cryptocurrency pricing
model》
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作者:
Khanh Q. Nguyen
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最新提交年份:
2020
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分类信息:
一级分类:Economics 经济学
二级分类:General Economics 一般经济学
分类描述:General methodological, applied, and empirical contributions to economics.
对经济学的一般方法、应用和经验贡献。
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一级分类:Quantitative Finance 数量金融学
二级分类:Economics 经济学
分类描述:q-fin.EC is an alias for econ.GN. Economics, including micro and macro economics, international economics, theory of the firm, labor economics, and other economic topics outside finance
q-fin.ec是econ.gn的别名。经济学,包括微观和宏观经济学、国际经济学、企业理论、劳动经济学和其他金融以外的经济专题
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英文摘要:
This research is to assess cryptocurrencies with the conditional beta, compared with prior studies based on unconditional beta or fixed beta. It is a new approach to building a pricing model for cryptocurrencies. Therefore, we expect that the use of conditional beta will increase the explanatory ability of factors in previous pricing models. Besides, this research is also a pioneer in placing the uncertainty factor in the cryptocurrency pricing model. Earlier studies on cryptocurrency pricing have ignored this factor. However, it is a significant factor in the valuation of cryptocurrencies because uncertainty leads to investor sentiment and affects prices.
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PDF链接:
https://arxiv.org/pdf/2010.12736