Economically irrational pricing of nineteenth century British government bonds
نویسنده
چکیده
British government bonds formed the deepest, most liquid, and most transparent financial market of the 19th century. This paper shows that those bonds had long periods, extending over decades, of anomalous behavior, in which Consols, the largest and best known of these instruments, were noticeably overpriced relative to equivalent securities which offered the same interest rate and the same guarantee of payment. This finding and similar ones for other comparable pairs of British gilts appear to provide the most extreme counterexamples documented so far to the Efficient Markets Hypothesis and to the Law of One Price, and point the way to further investigations on the origins and nature of the modern economy.
منابع مشابه
Supplementary material for “Economically irrational pricing of 19th century British government bonds”
This manuscript presents a variety of materials supplementing the paper “Economically irrational pricing of 19th century British government bonds.” The motivation, background, and notation are all explained in that manuscript. This one does not form a coherent work by itself. The first three sections illustrate how the British establishment viewed gilts mispricing around 1870, and how the marke...
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