Asset pricing theories all revolve, to some extent, about an estimate of risk-adjusted discounted cashflows. Some theories focus more on the cashflow aspect (for example, economic value added) or on the risk adjustments (for example, the capital asset pricing model or Fama-French 3-factor model). It is not immediately obvious how any of the extant economic asset pricing theories would apply to crypto-assets such as bitcoin, for example. It is an open question whether bitcoin is money (suggesting that monetary theory would determine its value) or a capital asset (suggesting asset pricing theory) or some new hybrid asset (suggesting the development of new theory is appropriate). The computer science literature has developed measures of the value of networks (for example Metcalf’s law and Sarnoff’s law). These measures are crude estimates of the number of users and the value per user. These measures, however, are not estimates as to the value of the crypto-assets within a distributed ledger (such as Blockchain for example) but an estimate of the value of the ledger itself. They also make no adjustments for risk.
This project will investigate the value and pricing of crypto-assets with a view to developing an asset-pricing approach that can be of use to investors and speculators making investments decisions.
Higher Degree by Research (HDR) Program
School: EFM Program Name(s) and Codes : PhD (EFM), DR203
Potential Supervisory Team
Cam, Davidson, de Silva, Potts
Academic Enqiury Contact
HDR Coordinator details Peter Sivey Sinclair Davidson