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

• 成果类型: Article
• 署名作者: Koudijs, Peter
• 署名单位: Stanford University; National Bureau of Economic Research
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.12312
• 发表日期: 2016
• 页码: 1185-1226
• 关键词: PUBLIC INFORMATION ARRIVAL; private information; financial-markets; capital-market; Bond prices; STOCK; news; AMSTERDAM; liquidity; 18th-century

摘要

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.