This paper studies the asset pricing implications of mining pools' concentration. We incorporate two features specific to cryptocurrencies into a traditional dynamic asset pricing model. First, we introduce the technological arms race between mining pools, and second, the interdependency between the cryptocurrency price and its transactional benefits, which we call services. Our continuous-time setup admits precise closed-form expressions. We find that an increase in mining pools' concentration decreases cryptocurrency price and increases its volatility, and the effects are amplified when there is more interdependency between the cryptocurrency price and its services. Empirical evidence from Bitcoin supports our model's predictions.
{"title":"Cryptocurrency, Mining Pools' Concentration, and Asset Prices","authors":"B. Datta, Idan Hodor","doi":"10.2139/ssrn.3887256","DOIUrl":"https://doi.org/10.2139/ssrn.3887256","url":null,"abstract":"This paper studies the asset pricing implications of mining pools' concentration. We incorporate two features specific to cryptocurrencies into a traditional dynamic asset pricing model. First, we introduce the technological arms race between mining pools, and second, the interdependency between the cryptocurrency price and its transactional benefits, which we call services. Our continuous-time setup admits precise closed-form expressions. We find that an increase in mining pools' concentration decreases cryptocurrency price and increases its volatility, and the effects are amplified when there is more interdependency between the cryptocurrency price and its services. Empirical evidence from Bitcoin supports our model's predictions.","PeriodicalId":414983,"journal":{"name":"IRPN: Innovation & Finance (Topic)","volume":"76 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-10-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127530112","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
This paper investigates the time-varying spillovers among cryptocurrency, green and fossil fuel investments. Using a TVP-VAR network connectedness model, we find that the spillovers among cryptocurrency, green and fossil fuel assets vary over time and that they are more pronounced during crisis periods. Our results also reveal asymmetric spillovers among these assets, where negative return spillovers are larger than positive return spillovers. We conclude our paper by discussing the implications of our results for policymakers and investors.
{"title":"Cryptocurrency, green and fossil fuel investments","authors":"L. Pham, T. Huynh, Waqas Hanif","doi":"10.2139/ssrn.3925844","DOIUrl":"https://doi.org/10.2139/ssrn.3925844","url":null,"abstract":"This paper investigates the time-varying spillovers among cryptocurrency, green and fossil fuel investments. Using a TVP-VAR network connectedness model, we find that the spillovers among cryptocurrency, green and fossil fuel assets vary over time and that they are more pronounced during crisis periods. Our results also reveal asymmetric spillovers among these assets, where negative return spillovers are larger than positive return spillovers. We conclude our paper by discussing the implications of our results for policymakers and investors.","PeriodicalId":414983,"journal":{"name":"IRPN: Innovation & Finance (Topic)","volume":"60 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-09-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122672445","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Non-fungible tokens (NFTs) on blockchains have recently emerged as a means of certifying the originality of digital properties, such as artwork. In this paper, we examine limited-edition auctions for the sale of digital artwork using NFTs. We study two types of limited-edition auctions that have been used in practice: the `silent' and `ranked' auctions. We argue that the silent limited-edition auction as currently used in NFT markets is a variant of the well-known discriminatory price auction. We derive the Bayesian Nash equilibrium of this auction, and show that it is revenue equivalent to a VCG auction. Our analysis suggests that bidding behavior in a silent limited-edition auction is more aggressive than a standard discriminatory price auction without editioning; consequently, equilibrium bids are higher in the former. We also study the generalized English auction as an outcome equivalent auction to the ranked limited-edition auction, and show that this does not have a truthful equilibrium. Finally, we examine the uniform-price auction as a potential alternative mechanism for conducting an auction with editioning, and establish the absence of a truthful equilibrium in this instance as well. Our paper represents one of the first attempts to formally model the allocation of property rights using auctions in the digital environment, which is at the forefront of current innovation.
{"title":"Property rights in the Crypto age: NFTs and the auctioning of limited edition artwork","authors":"Peyman Khezr, Vijay Mohan","doi":"10.2139/ssrn.3900203","DOIUrl":"https://doi.org/10.2139/ssrn.3900203","url":null,"abstract":"Non-fungible tokens (NFTs) on blockchains have recently emerged as a means of certifying the originality of digital properties, such as artwork. In this paper, we examine limited-edition auctions for the sale of digital artwork using NFTs. We study two types of limited-edition auctions that have been used in practice: the `silent' and `ranked' auctions. We argue that the silent limited-edition auction as currently used in NFT markets is a variant of the well-known discriminatory price auction. We derive the Bayesian Nash equilibrium of this auction, and show that it is revenue equivalent to a VCG auction. Our analysis suggests that bidding behavior in a silent limited-edition auction is more aggressive than a standard discriminatory price auction without editioning; consequently, equilibrium bids are higher in the former. We also study the generalized English auction as an outcome equivalent auction to the ranked limited-edition auction, and show that this does not have a truthful equilibrium. Finally, we examine the uniform-price auction as a potential alternative mechanism for conducting an auction with editioning, and establish the absence of a truthful equilibrium in this instance as well. Our paper represents one of the first attempts to formally model the allocation of property rights using auctions in the digital environment, which is at the forefront of current innovation.","PeriodicalId":414983,"journal":{"name":"IRPN: Innovation & Finance (Topic)","volume":"77 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-08-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116588424","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
The presentation is based on the study "Does one size fit all? Comparing the determinants of Fintech market segments expansion" by Mikhail I. Stolbov (MGIMO University) and Maria A. Shchepeleva (NRU HSE), as presented at 37th Symposium on Money, Banking and Finance, 17 June 2021.
这个演讲是基于“一种尺寸适合所有人吗?”比较金融科技细分市场扩张的决定因素”，由Mikhail I. Stolbov (MGIMO大学)和Maria A. Shchepeleva (NRU HSE)在第37届货币、银行和金融研讨会上发表，2021年6月17日。
{"title":"Does One Size Fit All? Comparing the Determinants of Fintech Market Segments Expansion (Conference Presentation)","authors":"M. Stolbov, M. Shchepeleva","doi":"10.2139/ssrn.3868820","DOIUrl":"https://doi.org/10.2139/ssrn.3868820","url":null,"abstract":"The presentation is based on the study \"Does one size fit all? Comparing the determinants of Fintech market segments expansion\" by Mikhail I. Stolbov (MGIMO University) and Maria A. Shchepeleva (NRU HSE), as presented at 37th Symposium on Money, Banking and Finance, 17 June 2021.","PeriodicalId":414983,"journal":{"name":"IRPN: Innovation & Finance (Topic)","volume":"3 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-06-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126922214","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Abstract We apply the (Phillips et al., 2015a,b) methodology to date-stamp bubbles in the Ethereum blockchain. Our analysis of the drivers of fundamental value suggests that the explosive behavior documented in ether prices does not constitute speculative bubbles but reflects the abrupt rally of demand for the use of the Ethereum Virtual Machine tied to the development of the decentralized application (dApp) ecosystem.
我们将(Phillips et al.， 2015a,b)方法应用于以太坊区块链中的日期戳气泡。我们对基本价值驱动因素的分析表明，以太坊价格中记录的爆炸性行为并不构成投机泡沫，而是反映了与去中心化应用程序(dApp)生态系统开发相关的以太坊虚拟机使用需求的突然反弹。
{"title":"Bubbles in Ethereum","authors":"Carlos Bellón, Isabel Figuerola‐Ferretti","doi":"10.2139/ssrn.3812513","DOIUrl":"https://doi.org/10.2139/ssrn.3812513","url":null,"abstract":"Abstract We apply the (Phillips et al., 2015a,b) methodology to date-stamp bubbles in the Ethereum blockchain. Our analysis of the drivers of fundamental value suggests that the explosive behavior documented in ether prices does not constitute speculative bubbles but reflects the abrupt rally of demand for the use of the Ethereum Virtual Machine tied to the development of the decentralized application (dApp) ecosystem.","PeriodicalId":414983,"journal":{"name":"IRPN: Innovation & Finance (Topic)","volume":"59 1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-03-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124040671","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
This paper examines the use of count data-based outcome variables such as corporate patents in empirical corporate finance research. We demonstrate that the common practice of regressing the log of one plus the count on covariates ("LOG1PLUS" regression) produces biased and inconsistent estimates of objects of interest and lacks meaningful interpretation. Poisson regressions have simple interpretations and produce unbiased and consistent estimates under standard exogeneity assumptions, though they lose efficiency if the count data is overdispersed. Replicating several recent papers on corporate patenting, we find that LOG1PLUS and Poisson regressions frequently produce meaningfully different estimates and that bias in LOG1PLUS regressions is likely large.
{"title":"Count Data in Finance","authors":"Jonathan B. Cohn, Zack Liu, M. Wardlaw","doi":"10.2139/ssrn.3800339","DOIUrl":"https://doi.org/10.2139/ssrn.3800339","url":null,"abstract":"This paper examines the use of count data-based outcome variables such as corporate patents in empirical corporate finance research. We demonstrate that the common practice of regressing the log of one plus the count on covariates (\"LOG1PLUS\" regression) produces biased and inconsistent estimates of objects of interest and lacks meaningful interpretation. Poisson regressions have simple interpretations and produce unbiased and consistent estimates under standard exogeneity assumptions, though they lose efficiency if the count data is overdispersed. Replicating several recent papers on corporate patenting, we find that LOG1PLUS and Poisson regressions frequently produce meaningfully different estimates and that bias in LOG1PLUS regressions is likely large.","PeriodicalId":414983,"journal":{"name":"IRPN: Innovation & Finance (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-03-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123755152","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
This paper aims to find the effectiveness of Cryptocurrency on well-formed portfolio with assets like Commodities, Exchange Traded Fund (ETFs), Stock assets and currency value of INR. There are several ways to determine the effectiveness in diversification. In this paper we use SOLVER, Modern Portfolio Theory and system of comparing Portfolio with FOREX & Commodity, Portfolio with Stock assets, Portfolio with ETFs, and lastly, combining all the asset classes in a portfolio with cryptocurrency. The portfolios optimized by maximizing the Portfolio return rate, as for other assets indicate a comparatively low performance. Testing the maximized utility for different levels of risk aversion confirms the findings of this empirical study and confers them more robustness. In light of the persistently substantial volatility in cryptocurrency markets, the empirical findings assert that portfolio managers are advised to construct a global minimum variance portfolio. In the absence of sophisticated optimization models, private investors can invest according to the market values of cryptocurrencies.
{"title":"Portfolio Diversification using Cryptocurrency","authors":"Padmavarthini S","doi":"10.2139/ssrn.3799026","DOIUrl":"https://doi.org/10.2139/ssrn.3799026","url":null,"abstract":"This paper aims to find the effectiveness of Cryptocurrency on well-formed portfolio with assets like Commodities, Exchange Traded Fund (ETFs), Stock assets and currency value of INR. There are several ways to determine the effectiveness in diversification. In this paper we use SOLVER, Modern Portfolio Theory and system of comparing Portfolio with FOREX & Commodity, Portfolio with Stock assets, Portfolio with ETFs, and lastly, combining all the asset classes in a portfolio with cryptocurrency. The portfolios optimized by maximizing the Portfolio return rate, as for other assets indicate a comparatively low performance. Testing the maximized utility for different levels of risk aversion confirms the findings of this empirical study and confers them more robustness. In light of the persistently substantial volatility in cryptocurrency markets, the empirical findings assert that portfolio managers are advised to construct a global minimum variance portfolio. In the absence of sophisticated optimization models, private investors can invest according to the market values of cryptocurrencies.","PeriodicalId":414983,"journal":{"name":"IRPN: Innovation & Finance (Topic)","volume":"95 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-03-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125672452","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
This paper argues that what came to be called value investing was an historical accident. It arose in large part because the influential work of Graham and Dodd preceded the development of electronic spreadsheets leading them to propose short-cut estimates of value based on accounting ratios. The demise of the value premium in the last twelve years has led to doubts regarding the efficacy of this approach to value investing and an efforts to adjust the accounting ratios to make them more robust. The argument here is that this effort is misguided. Instead, it must be recognized that value investing amounts to comparing estimates of fundamental value with price and that accounting ratios, however tweaked, are not a reasonable way to estimate value – it requires a full blown DCF analysis. The paper then goes on to address some of the implications of that assertion.
{"title":"A Short History of Value Investing and its Implications","authors":"Bradford Cornell","doi":"10.2139/ssrn.3789325","DOIUrl":"https://doi.org/10.2139/ssrn.3789325","url":null,"abstract":"This paper argues that what came to be called value investing was an historical accident. It arose in large part because the influential work of Graham and Dodd preceded the development of electronic spreadsheets leading them to propose short-cut estimates of value based on accounting ratios. The demise of the value premium in the last twelve years has led to doubts regarding the efficacy of this approach to value investing and an efforts to adjust the accounting ratios to make them more robust. The argument here is that this effort is misguided. Instead, it must be recognized that value investing amounts to comparing estimates of fundamental value with price and that accounting ratios, however tweaked, are not a reasonable way to estimate value – it requires a full blown DCF analysis. The paper then goes on to address some of the implications of that assertion.","PeriodicalId":414983,"journal":{"name":"IRPN: Innovation & Finance (Topic)","volume":"34 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-02-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114339957","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Application of information technology in the era of big data and cloud computing has led to the trend of electronic payments through financial technology, or FinTech. One of the most popular FinTech applications in Indonesia is Go-Pay in the Gojek start-up application. This research will analyze how the FinTech Go-Pay user experience both for transactions on Gojek and at merchants that collaborate with Gojek. User Experience (UX) is analyzed using the User Experience Questionnaire which consists of 6 (six) variables (Attractiveness, Perspicuity, Efficiency, Dependability, Stimulation, and Novelty). Total data collected amounted to 258. After analyzing the calculation results, the mean scores are obtained in the following order: Efficiency, Perspicuity, Stimulation, Attractiveness, Dependability, and Novelty. Then when compared with benchmark data the following sequence is obtained: Efficiency, Perspicuity, Stimulation, Attractiveness, Dependability, and Novelty. Overall the Go-Pay service is efficient and perspicuity, but the Go-Pay service needs to improve its novelty.
{"title":"FinTech E-Commerce Payment Application User Experience Analysis during COVID-19 Pandemic","authors":"L. Abdillah","doi":"10.15294/sji.v7i2.26056","DOIUrl":"https://doi.org/10.15294/sji.v7i2.26056","url":null,"abstract":"Application of information technology in the era of big data and cloud computing has led to the trend of electronic payments through financial technology, or FinTech. One of the most popular FinTech applications in Indonesia is Go-Pay in the Gojek start-up application. This research will analyze how the FinTech Go-Pay user experience both for transactions on Gojek and at merchants that collaborate with Gojek. User Experience (UX) is analyzed using the User Experience Questionnaire which consists of 6 (six) variables (Attractiveness, Perspicuity, Efficiency, Dependability, Stimulation, and Novelty). Total data collected amounted to 258. After analyzing the calculation results, the mean scores are obtained in the following order: Efficiency, Perspicuity, Stimulation, Attractiveness, Dependability, and Novelty. Then when compared with benchmark data the following sequence is obtained: Efficiency, Perspicuity, Stimulation, Attractiveness, Dependability, and Novelty. Overall the Go-Pay service is efficient and perspicuity, but the Go-Pay service needs to improve its novelty.","PeriodicalId":414983,"journal":{"name":"IRPN: Innovation & Finance (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126295690","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Angela M. Lyons, Josephine Kass‐Hanna, Ana Polato e Fava
Fintech is rapidly changing the financial landscape, especially in the post-COVID era. This study uses data from the world’s first global ranking of fintech ecosystems, the Global Fintech Index (GFI), to investigate the linkages between fintech development and demand for savings, borrowing, and remittances for 16 of the world’s largest emerging economies. Our results show that fintech development plays a key role in improving financial inclusion. However, considerable heterogeneities persist across population groups and regions. Evidence also suggests that access may not translate to greater usage of financial services. The findings have important implications for future models of financial inclusion.
{"title":"Impact of Fintech Development on Savings, Borrowing and Remittances: A Comparative Study of Emerging Economies","authors":"Angela M. Lyons, Josephine Kass‐Hanna, Ana Polato e Fava","doi":"10.2139/ssrn.3689142","DOIUrl":"https://doi.org/10.2139/ssrn.3689142","url":null,"abstract":"Fintech is rapidly changing the financial landscape, especially in the post-COVID era. This study uses data from the world’s first global ranking of fintech ecosystems, the Global Fintech Index (GFI), to investigate the linkages between fintech development and demand for savings, borrowing, and remittances for 16 of the world’s largest emerging economies. Our results show that fintech development plays a key role in improving financial inclusion. However, considerable heterogeneities persist across population groups and regions. Evidence also suggests that access may not translate to greater usage of financial services. The findings have important implications for future models of financial inclusion.","PeriodicalId":414983,"journal":{"name":"IRPN: Innovation & Finance (Topic)","volume":"91 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-09-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127665657","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
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