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The boats that did not sail: Asset Price Volatility and Market Efficiency in a Natural Experiment / Peter Koudijs.
- Format:
- Book
- Author/Creator:
- Koudijs, Peter.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w18831.
- NBER working paper series no. w18831
- Language:
- English
- Physical Description:
- 1 online resource: illustrations (black and white);
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 2013.
- Summary:
- 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.
- Notes:
- Print version record
- February 2013.
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