The Boats That Did Not Sail: Asset Price Volatility in a Natural Experiment
利用18世纪荷兰阿姆斯特丹交易所的船只延误作为自然实验，研究股票价格短期波动的原因，发现即使没有新闻，价格也会因私人信息揭示和流动性交易影响中介风险溢价而大幅波动。
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.