This event has been organised by CFA UK's Investment Studies working group.
The cryptocurrency is marching into the mainstream financial world with a growing number of critics and defenders. As becoming a new “accepted” asset class, cryptocurrency cannot be proven as unique without observing its behaviour relative to traditional asset classes. We invite Dr Xi Wu at Berkeley Haas to discuss her paper, Common Risk Factors in Cryptocurrency, written alongside Yukun Liu and Aleh Tsyvinski and detail a set of stylised facts on the cross-section of cryptocurrencies that can be used to assess and develop theoretical pricing models of cryptocurrency.
Dr Xi Wu will explain that the risk-return tradeoff of cryptocurrencies is distinct from those of stocks, currencies, and precious metals. Cryptocurrencies have no exposure to most common stock market and macroeconomic factors or to the returns of currencies and commodities. In contrast, the cryptocurrency returns can be predicted by factors which are specific to cryptocurrency markets.
Dr Xi and her co-authors uncover that three factors – cryptocurrency market, size, and momentum – capture the cross-sectional expected cryptocurrency returns. Nine cryptocurrency factors form successful long-short strategies that generate sizable and statistically significant excess returns, and all of these strategies are accounted for by the cryptocurrency three-factor model.Where recordings are made, these are a member benefit that are accessed through the member-only platform, CFA UK Discover.
Event: 17:00 - 18:00
CPD points: 1.00
Dr Xi Wu, Assistant Professor in the Accounting Group, Haas School of Business, University of California Berkeley
Dr Xi Wu is an Assistant Professor in the Accounting Group at Haas School of Business, University of California Berkeley. Her work focuses on the intersection of securities regulation, corporate governance, valuation, and Fintech.
She has received several research awards, including the Q-Group Jack Treynor Prize for superior work in the field of investment management and financial markets. Her research has been presented at government organisations and top hedge funds in the industry.
Prior to joining UC Berkeley, she received her PhD in accounting from NYU’s Stern School of Business, and a BA in mathematics and economics from Cornell University.Click here to view our event terms and conditions.