2026/02/24 by Joel Hasbrouck, Julian Ma, Fahad Saleh +1 · 2 voices
Economics, Econometrics and Finance · #q-fin.TR
arxiv published 2026/02/24 · arxiv updated 2026/03/12
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.