报告题目：剖析加密货币市场中的特质波动率之谜
报告人：沈德华 教授
邀请人：张紫琼 教授
报告时间及地点：2026-11-15 10:00-12:00 经济管理学院B211
报告人简况：
沈德华，南开大学金融学院教授、博士生导师、百名青年学科带头人、爱思唯尔中国高被引学者（2022-2025年、入选学科领域：应用经济学）。现任中国管理现代化研究会金融管理专业委员会副秘书长、中国优选法统筹法与经济数学研究会青年工作委员会副秘书长、中国工业与应用数学学会区块链专业委员会委员和中国信息经济学会理事等职务。主持国家自然科学基金青年科学基金1项、面上项目2项、天津市青年人才托举工程项目1项以及作为青年骨干参与国家自然科学基金重大项目1项。研究成果获首届系统科学与系统工程优秀博士学位论文奖、欧洲金融管理协会读者评选最佳论文奖(EFM2020 Readers' Choice Best Paper Award)、第十八届中国管理学年会优秀论文以及第八届高等学校科学研究优秀成果奖二等奖等。
报告内容 摘要：
We examine the sources of the idiosyncratic volatility (IVOL) puzzle in cryptocurrency markets and assess the relative explanatory power of competing hypotheses. We document a significantly negative cross-sectional relation between IVOL and subsequent cryptocurrency returns that persists when IVOL is replaced by expected idiosyncratic volatility estimated using an exponential GARCH model. The negative relation is stronger among cryptocurrencies classified as overpriced, consistent with arbitrage asymmetry. Additional evidence supports explanations based on lottery preferences and investor disagreement, whereas liquidity-based explanations receive limited support. Applying the decomposition framework of Hou and Loh (2016), we find that lottery-preference and disagreement proxies account for substantial portions of the negative IVOL–return relation, while liquidity and arbitrage-asymmetry proxies make comparatively small contributions. Together, the candidate explanatory variables account for 64.71% of the relation. These findings highlight the relevance of lottery preferences and investor disagreement to the cryptocurrency IVOL puzzle, while leaving a substantial component unexplained.
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