The Boats That Did Not Sail: Asset Price Volatility in a Natural Experiment

Peter Koudijs*

*Corresponding author for this work

Research output: Contribution to journalArticleAcademicpeer-review

25 Citations (Scopus)

Abstract

What explains short-term fluctuations of stock prices? This paper exploits a natural experiment from the 18 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.

Original languageEnglish
Pages (from-to)1185-1226
Number of pages42
JournalJournal of Finance
Volume71
Issue number3
DOIs
Publication statusPublished - 1 Jun 2016
Externally publishedYes

Bibliographical note

Publisher Copyright:
© 2016 the American Finance Association.

Fingerprint

Dive into the research topics of 'The Boats That Did Not Sail: Asset Price Volatility in a Natural Experiment'. Together they form a unique fingerprint.

Cite this