TY  - BOOK
AU  - Koudijs,Peter
ED  - National Bureau of Economic Research.
TI  - The boats that did not sail: Asset Price Volatility and Market Efficiency in a Natural Experiment 
T2  - NBER working paper series
PY  - 2013///
CY  - Cambridge, Mass.
PB  - National Bureau of Economic Research
N1  - February 2013; Hardcopy version available to institutional subscribers
N2  - 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
UR  - https://www.nber.org/papers/w18831
UR  - http://dx.doi.org/10.3386/w18831
ER  -