for comments and suggestions. We thank Gary Shea for generously sharing his data about 18th century British companies and John Turner for his advice on how to use British stock price information from the 19th century. George Jiang, Manisha Goswami and Cathy Quiambao provided valuable research assistance. The views expressed herein are those of the authors and do not necessarily reflect the views of the National Bureau of Economic Research. NBER working papers are circulated for discussion and comment purposes. They have not been peer-reviewed or been subject to the review by the NBER Board of Directors that accompanies official NBER publications.

Distressed sales (or purchases) often lead to a V-shaped pattern in asset prices. We investigate the underlying dynamics of this overshooting of the price in a unique historical setting. We present detailed transaction data for two cases of distressed trading in the Amsterdam stock market in 1772 and 1773. We show that there is an interesting disconnect between the realization of the shock and price overshooting on the one hand, and the actual distressed trading on the other. A large fraction of trades were delayed until the overshooting of the price had been corrected. Using qualitative sources we document signi…cant contemporary uncertainty about the size of the shock. We argue that a model based on this uncertainty could potentially explain the disconnect between price overshooting and the timing of transactions.

What explains short-term ‡uctuations of stock prices? This paper exploits a natural experiment from the 18 th century in which information ‡ows 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.JEL Codes: G14, N2 Keywords: asset price volatility, news, liquidity, …nancial history Stanford University and NBER. This paper is based on the …rst 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

No abstract