Those who know most: : Insider trading in eighteenth-century Amsterdam

• Autores: Peter Koudijs
• Localización: Journal of Political Economy, ISSN-e 1537-534X, Vol. 123, Nº. 6, 2015
• Idioma: inglés
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• Resumen

  • This paper studies how private information is incorporated into prices, using a unique setting from the eighteenth century that is closer to stylized models of price discovery than modern-day markets. Specifically, the paper looks at English securities traded in both London and Amsterdam. Private information reached Amsterdam through sailing boats that sailed only twice a week and in adverse weather could not sail at all. Results are consistent with a Kyle model in which informed agents trade strategically. Most importantly, the speed of information revelation in Amsterdam depended on the expected time until the private signal would become public.