Market Inefficiency in Cryptoasset Markets

Joel Hasbrouck; Julian Ma; Fahad Saleh; Caspar Schwarz-Schilling

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arXiv · 2602.20771

Market Inefficiency in Cryptoasset Markets

Joel Hasbrouck·Julian Ma·Fahad Saleh·Caspar Schwarz-Schilling

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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.

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Joel Hasbrouck, Julian Ma, Fahad Saleh, Caspar Schwarz-Schilling. 2026-02-24. Market Inefficiency in Cryptoasset Markets. https://arxiv.org/abs/2602.20771

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