NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

The boats that did not sail: Asset Price Volatility and Market Efficiency in a Natural Experiment

Peter Koudijs

NBER Working Paper No. 18831
Issued in February 2013
NBER Program(s):   AP

What explains short-term fluctuations of stock prices? This paper exploits a natural experiment from the 18th century in which information flows were regularly interrupted for exogenous reasons. English shares were traded on the Amsterdam exchange and news came in on sailboats that were often delayed because of adverse weather conditions. The paper documents that prices responded strongly to boat arrivals, but there was considerable volatility in the absence of news. The evidence suggests that this was largely the result of the revelation of (long-lived) private information and the (transitory) impact of uninformed liquidity trades on intermediaries' risk premia.

download in pdf format
   (437 K)

email paper

Supplementary materials for this paper:

This paper was revised on October 30, 2015

Machine-readable bibliographic record - MARC, RIS, BibTeX

Document Object Identifier (DOI): 10.3386/w18831

Published: Journal of Finance, Volume 71, Issue 3 June 2016 Pages 1185–1226

Users who downloaded this paper also downloaded these:
Koudijs w18845 'Those Who Know Most': Insider Trading in 18th c. Amsterdam
Bordo and Rockoff w18828 Not Just the Great Contraction: Friedman and Schwartz's A Monetary History of the United States 1867 to 1960
Bond, Edmans, and Goldstein w17719 The Real Effects of Financial Markets
Farmer, Nourry, and Venditti w18647 The Inefficient Markets Hypothesis: Why Financial Markets Do Not Work Well in the Real World
Glaeser w18825 A Nation Of Gamblers: Real Estate Speculation And American History
 
Publications
Activities
Meetings
NBER Videos
Themes
Data
People
About

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

Contact Us