Financial Market Dislocations

• 成果类型: Article
• 署名作者: Pasquariello, Paolo
• 署名单位: University of Michigan System; University of Michigan
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhu007
• 发表日期: 2014
• 页码: 1868
• 关键词: COVERED INTEREST ARBITRAGE; COMMON RISK-FACTORS; cross-section; Investor sentiment; LIMITED ARBITRAGE; transaction costs; rare disasters; stock returns; asset prices; liquidity

摘要

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 investors demand statistically and economically significant risk premiums to hold financial assets performing poorly during market dislocations, that is, when both frictions to the trading activity of speculators and arbitrageurs and their marginal utility of wealth are likely to be high.