State‐Dependent Relationship Between Cryptocurrency Returns and Credit Spreads
研究了过度自信的加密货币交易者如何影响回报与风险溢价（以期权调整信用利差衡量）之间的关系，发现回报在利差扩大时下降（尤其在崩盘期间），但在利差收窄时不会恢复，且这种不对称性在高波动时期增强。
ABSTRACT This study investigates how overconfident cryptocurrency traders influence the connection between returns and risk premia, proxied by option‐adjusted credit spreads. Using daily data from January 2021 to February 2025, we uncover asymmetry and state dependence: returns decline when spreads widen, particularly during crashes, yet they do not recover when spreads narrow. Equity indices exhibit more balanced co‐movements. The asymmetry strengthens in high‐volatility periods and persists after we control for broad market returns and after we substitute a composite crypto index for individual cryptocurrencies. These findings indicate a distinctive pricing mechanism in cryptocurrency markets shaped by overconfident behaviour and credit‐spread dynamics.