arXiv Open Access 2026

Market Inefficiency in Cryptoasset Markets

Joel Hasbrouck Julian Ma Fahad Saleh Caspar Schwarz-Schilling

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Abstrak

We demonstrate market inefficiency in cryptoasset markets. Our approach examines investments that share a dominant risk factor but differ in their exposure to a secondary risk. We derive equilibrium restrictions that must hold regardless of how investors price either risk. Our empirical results strongly reject these necessary equilibrium restrictions. The rejection implies market inefficiency that cannot be attributed to mispriced risk, suggesting the presence of frictions that impede capital reallocation.

Topik & Kata Kunci

q-fin.TR

Penulis (4)

Joel Hasbrouck

Julian Ma

Fahad Saleh

Caspar Schwarz-Schilling

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Hasbrouck, J., Ma, J., Saleh, F., Schwarz-Schilling, C. (2026). Market Inefficiency in Cryptoasset Markets. https://arxiv.org/abs/2602.20771

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Informasi Jurnal

Tahun Terbit: 2026
Bahasa: en
Sumber Database: arXiv
Akses: Open Access ✓