5th Online Seminar in Finance: Daniele Bianchi, Queen Mary University of London
The Institute of Finance at PUEB is pleased to announce the 5th Online Seminar in Finance.
Speaker: Daniele Bianchi, Queen Mary University of London
Date: December 9th, 2022, 11:00 (Warsaw time)
Title: A Risk-Based Explanation of Cryptocurrency Returns
Abstract: We investigate the dynamics of returns in cryptocurrency markets through the lens of a small-scale latent factor model with time-varying factor loadings instrumented by individual cryptocurrency characteristics. We have three main empirical findings. First, our factor model excels in providing a risk-based explanation of daily realised and expected returns of cryptocurrencies, improving over both static latent factor models and pre-specified portfolios sorted on observable characteristics. Second, we show that expected returns are primarily driven by liquidity, volatility, and past performance. Third, our model provides evidence of a limited, although significant, spill-over of fundamental risk factors between equity and cryptocurrency markets.
Speaker’s bio: Daniele Bianchi is an Associate Professor in Finance at the School of Economics and Finance, Queen Mary University of London. Previously, he has been an Assistant Professor at the Warwick Business School, University of Warwick. He was awarded a Ph.D. by the Department of Finance at Bocconi University in Spring 2014, and served as a visiting economist at the Sveriges Riksbank, McCombs School of Business at UT Austin in Texas, at University „Ca’ Foscari” of Venice in Italy, and at the Nova School of Business and Economics in Lisbon. His research interests span macro-finance, empirical asset pricing, financial econometrics, machine learning, and cryptocurrency markets. Daniele’s publications include Review of Financial Studies, Journal of Econometrics, Journal of Business and Economic Statistics and Journal of Banking and Finance.
To register please click here: https://forms.gle/c4Tu4nG1qB7f1Ctz9.*
Registration deadline: December 7th, 20:00 (Warsaw time). The invitation to the Teams webinar will be sent by December 7th.
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