At a given point in time, bitcoin prices are different on exchanges located in different countries, or against different currencies. While existing literature attributes the largest price differences to frictions, like market segmentation, trading platforms advertize how to execute trades based on this information. We provide a novel risk-based explanation of these price differences for a sample containing the most reputable exchanges and after accounting for all transaction costs and limitations to trade. Bitcoin prices for more expensive pairs are riskier because they depreciate more in bad times for cryptocurrency investors, when aggregate liquidity and investor sentiment are lower.

中文翻译：

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加密货币收益的横截面

在给定的时间点，比特币价格在不同国家的交易所或对不同货币的价格是不同的。虽然现有文献将最大的价格差异归因于市场细分等摩擦，但交易平台会宣传如何根据这些信息执行交易。对于包含最有信誉的交易所的样本，并在考虑所有交易成本和交易限制后，我们为这些价格差异提供了一种新颖的基于风险的解释。更昂贵的货币对的比特币价格风险更大，因为它们在加密货币投资者的糟糕时期贬值更多，此时总体流动性和投资者情绪较低。