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Market Inefficiency in Cryptoasset Markets

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Listed:
  • Joel Hasbrouck
  • Julian Ma
  • Fahad Saleh
  • Caspar Schwarz-Schilling

Abstract

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.

Suggested Citation

  • Joel Hasbrouck & Julian Ma & Fahad Saleh & Caspar Schwarz-Schilling, 2026. "Market Inefficiency in Cryptoasset Markets," Papers 2602.20771, arXiv.org.
    • Handle: RePEc:arx:papers:2602.20771
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    File URL: http://arxiv.org/pdf/2602.20771
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