NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

NBER Working Papers by Peter Koudijs

Contact and additional information for this authorAll papers and publicationsWorking Papers onlyWorking Papers with publication info

Working Papers

March 2014Leverage and Beliefs: Personal Experience and Risk Taking in Margin Lending
with Hans-Joachim Voth: w19957
What determines risk-bearing capacity and the amount of leverage in financial markets? Using unique archival data on collateralized lending, we show that personal experience can affect individual risk-taking and aggregate leverage. When an investor syndicate speculating in Amsterdam in 1772 went bankrupt, many lenders were exposed. In the end, none of them actually lost money. Nonetheless, only those at risk of losing money changed their behavior markedly – they lent with much higher haircuts. The rest continued as before. The differential change is remarkable since the distress was public knowledge. Overall leverage in the Amsterdam stock market declined as a result.
February 2013'Those Who Know Most': Insider Trading in 18th c. Amsterdam
w18845
This paper employs a natural experiment from financial history to study the process by which private information is incorporated into prices. I look at the market for English securities in the Netherlands during the 1770s and 1780s. Anecdotal evidence suggests that English insiders traded actively on their private signals, both in London and in Amsterdam. I reconstruct the arrival dates of sailing boats that transmitted information from London to Amsterdam and I look at the movement of English security prices between the arrivals of boats. The evidence is consistent with a Kyle (1985) model in which insiders trade on their private signals in a strategic way and private information is only slowly revealed to the market as a whole. The speed of information revelation in Amsterdam crucially d...
The boats that did not sail: Asset Price Volatility and Market Efficiency in a Natural Experiment
w18831
Financial markets are thought to be inefficient when they move too much relative to the arrival of information. How big is this inefficiency? In today's markets, this is difficult to determine because the arrival of information is hard to identify. In this paper, I present a natural experiment from history in which the flow of information was regularly interrupted for exogenous reasons. This allows me to study volatility in the absence of news, and to identify the degree of inefficiency. During the 18th century a number of English securities were traded on the Amsterdam exchange. Relevant information from England reached Amsterdam on mail boats. I reconstruct their arrival dates. When no mail boats arrived, virtually no other relevant information reached the Amsterdam market. I measure pri...

Contact and additional information for this authorAll papers and publicationsWorking Papers onlyWorking Papers with publication info

 
Publications
Activities
Meetings
Data
People
About

Support
National Bureau of Economic Research, 1050 Massachusetts Ave., Cambridge, MA 02138; 617-868-3900; email: info@nber.org

Contact Us