Financial Market Dislocations

@article{Pasquariello2012FinancialMD,
  title={Financial Market Dislocations},
  author={P. Pasquariello},
  journal={Monetary Economics eJournal},
  year={2012}
}
  • P. Pasquariello
  • Published 2012
  • Economics
  • Monetary Economics eJournal
  • Dislocations occur when financial markets, operating under stressful conditions, experience large, widespread asset mispricings. This study documents systematic dislocations in world capital markets and the importance of their fluctuations for expected asset returns. Our novel, model-free measure of these dislocations is a monthly average of six hundred abnormal absolute violations of three textbook arbitrage parities in stock, foreign exchange, and money markets. We find that investors demand… CONTINUE READING
    Credit Migration and Covered Interest Rate Parity
    • 38
    • PDF
    Comovement in Arbitrage Limits
    Reversals in Market Integration: A Funding Liquidity Explanation
    Reversals in Global Market Integration and Funding Liquidity
    • 1
    • PDF
    Understanding FX Liquidity
    • 96
    • PDF
    Understanding FX Liquidity

    References

    Publications referenced by this paper.
    SHOWING 1-10 OF 139 REFERENCES
    Anomalies and Financial Distress
    • 185
    • PDF
    Arbitrage Crashes and the Speed of Capital
    • 223
    • PDF
    Covered interest arbitrage profits: The role of liquidity and credit risk
    • 63
    Noise Trader Risk in Financial Markets
    • 4,714
    • PDF
    A Theory of Arbitrage Capital
    • 30
    Anomalies: The Law of One Price in Financial Markets
    • 228
    • Highly Influential
    • PDF
    Liquidity shocks and equilibrium liquidity premia
    • 207
    • PDF
    The Limits of Arbitrage
    • 3,998
    • PDF