Speaker: Victoria Dobrynskaya, Associate Professor, HSE University, Russian Federation
Watch the Session: https://app.knowmia.com/JxWE
Session description: I look at the cryptocurrency market through the prism of standard multifactor asset-pricing models with particular attention to the downside market risk. The analysis for 1,700 coins reveals that there is a significant heterogeneity in the exposure to the downside market risk, and that a higher downside risk exposure is associated with higher average returns. The extra downside risk is priced with a statistically significant premium in cross-sectional regressions. Adding the downside risk component to the CAPM and the 3-factor model for cryptocurrencies improves the explanatory power of the models significantly. The downside risk is orthogonal to the size and momentum risks and constitutes an important forth component in the multifactor cryptocurrency pricing model.
Bio: Victoria Dobrynskaya is an associate professor at School of Finance, HSE University in Moscow. She holds PhD degree in Finance from London School of Economics and Political Science. She is actively involved in academic research and has many publications in leading refereed academic journals including the Review of Finance, Journal of International Financial Markets, Institutions and Money, and Quarterly Journal of Finance. Her research was presented at numerous international academic conferences around the world. Her research interests include empirical asset pricing, international finance, investment strategies, cryptofinance and alternative investments. She teaches Financial Economics and International Finance at the Faculty of Economic Sciences at HSE University. She has an online course in Financial Economics at the National Open Education Platform. She also supervises bachelor, master and PhD students, is a member of students defense committee and a member of Student Research Paper Competition committee.