【行业报告】BIS-通过全球数据库深入了解贷款损失率_市场营销策划_2023年市场报告6月第3周_d.docxVIP

Crypto Carry? Maik Schmeling Goethe University CEPR schmeling@finance.uni-frankfurt.de Andreas Schrimpf BIS CEPR andreas.schrimpf@bis.org Karamfil Todorov BIS karamfil.todorov@bis.org This version: March 24, 2023 Abstract We document that the carry of crypto futures, i.e. the difference between futures and spot prices, can become very large (up to 60% p.a.) and varies strongly over time. This behavior is most consistent with the existence of a highly volatile crypto convenience yield that stems from two main forces: (i) trend-chasing and attention by smaller investors seeking leveraged up