Financial Market Dislocations
Speaker
Abstract
| Dislocations occur when financial markets, operating under stressful conditions, experience large, widespread asset mispricings. This study documents systematic financial market 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 economically and statistically significant risk premiums to hold financial assets performing poorly during market dislocations. |
| Contact information: |
| Elvira Sojli |
| Emailfpos@rsm.nl |
|
This event is an Erasmus Finance Seminar. The Erasmus Finance Seminar series brings prominent researchers in Finance from all over the world to Rotterdam. |
