The boats that did not sail: Asset Price Volatility and Market Efficiency in a Natural Experiment

This paper is based on the first chapter of my dissertation. I thank Hans-Joachim Voth (advisor), and Fernando Broner and Jaume Ventura (committee members) for their advice and support. I thank Karine van der Beek, Harry Garretsen, Will Goetzmann, Benjamin Golez, Jakub Jurek, Floor Koudijs, Hanno Lustig, Larry Neal, Andrej Ukhov, Nico Voigtländer, Jan de Vries, Jan Luiten van Zanden, two anonymous referees, and Bruno Biais (Editor) for their detailed comments and suggestions. Many thanks to seminar participants at Cambridge (EurHiStock), Chicago-Booth, Columbia, Evanston (EHA meetings), Geneva (EHES meetings), Northwestern, Nottingham (EHS meetings), NYU- Stern, Princeton, Stanford, Tilburg, UC Berkeley, UC Davis, UCLA-Anderson, UPenn-Wharton, UPF- CREI, Utrecht, and Warwick for their feedback. Daphne Acoca, Sid Basu, Michelle Lee, Sophia Paliza, Hannah Rusk, Anne Tran, and Tony Wang provided excellent research assistance. Any errors are my own. This project was financed by the Spanish Ministry of Education and Stanford GSB. The views expressed herein are those of the author and do not necessarily reflect the views of the National Bureau of Economic Research.

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• February 21, 2013