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

Peter Koudijs

No 18831, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: 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.

JEL-codes: G14 N2 (search for similar items in EconPapers)
Date: 2013-02
New Economics Papers: this item is included in nep-his
Note: AP
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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

Downloads: (external link)
http://www.nber.org/papers/w18831.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:nbr:nberwo:18831

Ordering information: This working paper can be ordered from
http://www.nber.org/papers/w18831

Access Statistics for this paper

More papers in NBER Working Papers from National Bureau of Economic Research, Inc National Bureau of Economic Research, 1050 Massachusetts Avenue Cambridge, MA 02138, U.S.A.. Contact information at EDIRC.
Bibliographic data for series maintained by (wpc@nber.org).