Crypto Carry

The authors are grateful for helpful comments from Jan Beinke, Jules van Binsbergen, Agostino Capponi, Egemen Eren, Wenqian Huang, Albert Menkveld, Gabor Pinter, Ganesh Viswanath-Natra (discussant), Marina Niessner (discussant), Kenny Phua (discussant), and Shihao Yu (discussant) as well as seminar participants at the Bank for International Settlements (BIS) and participants at the 15th Annual Conference on Advances in the Analysis of Hedge Fund Strategies at Imperial College London; the 18th Central Bank Market Microstructure Conference in Washington, D.C.; Banque de France Digital Finance Research Conference; the Sixth Sydney Market Microstructure and Digital Finance Meeting; and the conference of the Swiss Society for Financial Market Research in Zurich. The authors also thank Giulio Cornelli for excellent research assistance. The views expressed in this paper are those by the authors and do not necessarily represent those by the Bank for International Settlements.