Financial Market Dislocations

  title={Financial Market Dislocations},
  author={P. Pasquariello},
  journal={Capital Markets: Asset Pricing \& Valuation eJournal},
  • P. Pasquariello
  • Published 2012
  • Economics
  • Capital Markets: Asset Pricing & Valuation 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 hundreds of individual abnormal absolute violations of three textbook arbitrage parities in stock, foreign exchange, and money markets. We find that… Expand
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