| 来源类型 | Working Paper
|
| 规范类型 | 报告
|
| DOI | 10.3386/w18845
|
| 来源ID | Working Paper 18845
|
| 'Those Who Know Most': Insider Trading in 18th c. Amsterdam |
| Peter Koudijs
|
| 发表日期 | 2013-02-28
|
| 出版年 | 2013
|
| 语种 | 英语
|
| 摘要 | This paper studies how private information is incorporated into prices, using a unique setting from the 18th century that, in many dimensions, is simpler and closer to stylized models of price discovery than modern-day markets. Specifically, the paper looks at a number of English securities that were traded in both London and Amsterdam. Relevant information about these securities originated in London and was sent to Amsterdam on board of official mail packet boats. Anecdotal evidence suggests that these ships carried both public news and private information. They sailed only twice a week, and in adverse weather could not sail at all. The paper exploits periods of exogenous market segmentation to identify the impact of private information. The evidence is consistent with a Kyle (1985) model in which informed agents trade strategically. Most importantly, the speed of information revelation in Amsterdam depended on how long insiders expected it would take for the private signal to become public. As a result of this strategic behavior, private information was only slowly revealed to the market as a whole. This price discovery was economically important: private signals had almost as much impact on prices as public information shocks. |
| 主题 | Financial Economics
; Financial Markets
; History
; Financial History
|
| URL | https://www.nber.org/papers/w18845
|
| 来源智库 | National Bureau of Economic Research (United States)
|
| 引用统计 |
|
| 资源类型 | 智库出版物
|
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/576520
|
推荐引用方式
GB/T 7714 |
Peter Koudijs. 'Those Who Know Most': Insider Trading in 18th c. Amsterdam. 2013.
|
|
文件名：
|
w18845.pdf
|
|
格式：
|
Adobe PDF
|
此文件暂不支持浏览
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。
