Supplementary Material for 'Economically Irrational Pricing of 19th Century British Government Bonds'

184 Pages Posted: 12 May 2014 Last revised: 25 Sep 2014

See all articles by Andrew Odlyzko

Andrew Odlyzko

University of Minnesota - Twin Cities - School of Mathematics and Digital Technology Center

Date Written: May 9, 2014

Abstract

The first three sections illustrate how the British establishment viewed gilts mispricing around 1870, and how the markets reacted to a government debt conversion proposal of that year. This is followed by a section on general government policy towards investors in national debt instruments. Next comes a series of sections discussing gilts mispricings and press coverage of them during some interesting periods. There are then several sections on the financial press of the 19th century and on gilts investments of various investor groups, such as the universities of Cambridge and Oxford. These are followed by discussions of data sources, gilts liquidity and volatility, and gilts ownership. At the end there are several sections exploring in depth the "network effects" that likely contributed to the observed gilts mispricings. This manuscript concludes with discussions of possible extensions to the research reported here.

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 paper "Economically Irrational Pricing of 19th Century British Government Bonds" to which this Supplement applies is available at the following URL: http://ssrn.com/abstract=2435399

Note: Tables of bond prices that are the basis of the above two papers are available at the author's home page

Keywords: pricing anomalies, violations of Efficient Markets Hypothesis, Law of One Price counterexamples

JEL Classification: B15, E43, G10, G11, G12, G14, G24, H63, H81, N23

Suggested Citation

Odlyzko, Andrew, Supplementary Material for 'Economically Irrational Pricing of 19th Century British Government Bonds' (May 9, 2014). Available at SSRN: https://ssrn.com/abstract=2435437 or http://dx.doi.org/10.2139/ssrn.2435437

Andrew Odlyzko (Contact Author)

University of Minnesota - Twin Cities - School of Mathematics and Digital Technology Center ( email )

127 Vincent Hall
206 Church St. SE
Minneapolis, MN 55455
United States
612-625-6413 (Phone)
612-626-2017 (Fax)

HOME PAGE: http://www.dtc.umn.edu/~odlyzko

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