Peso Problem situations represent a market reaction prior to abrupt events, that although expected to occur may actually never happen. They so correspond to an anticipation of the event by market participants, their behaviour being biased by the expectation of the abrupt event. The “Peso Problem” concept originated in the currency market, but the situation is transversal to any asset in the market place. This thesis aims to give a perspective of how Peso Problem situations affect asset pricing behaviour in the currency, equity, bond and derivatives markets. Acknowledging that a biased market data behaviour can result from people’s attitudes, behavioural finance forwards an alternative to the traditional Efficient Market Hypothesis point of view for the Peso Problem and similar market data behaviours.