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Peter Koudijs
Working Papers

Equity Duration and Predictability

Benjamin Golez, Peter Koudijs
SSRN, 2020 August 3, 2020

One of the most puzzling findings in asset pricing is that expected returns dominate variation in the dividend-to-price ratio, leaving little room for dividend growth rates. Even more puzzling is that this dominance only emerged after 1945. We develop a present value model to argue that a general increase in equity duration can explain these findings. As cash flows to investors accrue further into the future, shocks to highly persistent expected returns become relatively more important than shocks to growth rates.

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Working Papers

Mortgage Amortization and Wealth Accumulation

Asaf Bernstein, Peter Koudijs
SSRN, 2020 July 31, 2020

Standard mortgage contracts include periodic debt repayment plans (amortization schedules) designed to build-up illiquid savings in the form of home equity, which can be substantial even from a macroeconomic standpoint. For example, U.S. households invest hundreds of ($) billions each year in mortgage amortization plans – comparable in size to pension program contributions. We provide the first empirical evidence on the causal effects of mortgage amortization on wealth accumulation. Ex-ante, effects are unclear.

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Journal Articles

Intermediation in Mortgage-Backed Securities: The Plantation Business of F.W. Hudig, 1759-1797

Abe de Jong, Tim Kooijmans, Peter Koudijs
SSRN, 2020 June 19, 2020

Dutch-Caribbean plantations attracted substantial outside funding in the 1760s. This came to an abrupt end after the 1773 credit crisis. We use one banker’s detailed archives to analyze how bankers and investors were initially able to overcome asymmetric information problems, and why the system eventually broke down. Bankers oversaw plantations’ cash flows and placed debt with investors in the form of mortgage-backed securities. Strong growth led to lax screening and an oversupply of credit. After a fall in commodity prices, plantation debts were unsustainable.

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Journal Articles

Limited liability and investment: Evidence from changes in marital property laws in the US South, 1840–1850

Peter Koudijs, Laura Salisbury
Journal of Financial Economics, 2020 April 13, 2020

We study the impact of marital property legislation passed in the US South in the 1840s on households’ investment in risky, entrepreneurial projects. These laws protected the assets of newly married women from creditors in a world of virtually unlimited liability. We compare couples married after the passage of a marital property law with couples from the same state who were married before. Consistent with a simple model of household borrowing that trades off agency costs against risk sharing, the effect on investment was heterogeneous.

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Working Papers

Bankruptcy and Investment: Evidence from Changes in Marital Property Laws in the U.S. South, 1840-1850

Peter Koudijs, Laura Salisbury
NBER Working Paper Series, 2016 February 1, 2016
We study the impact of the introduction of a form of bankruptcy protection on household investment in the U.S. South in the 1840s, which predated modern bankruptcy laws. During this period, certain southern states passed laws that protected married women's property from seizure in the case of insolvency, amending the common law default which vested a wife's property in her husband and thus allowed it to be seized for the repayment of his debts. Importantly, these laws only applied to newlyweds.
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Journal Articles

Those Who Know Most: Insider Trading in Eighteenth-Century Amsterdam

Peter Koudijs, Peter Koudijs
Journal of Political Economy, 2015 November 4, 2015

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.

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Journal Articles

The Boats That Did Not Sail: Asset Price Volatility in A Natural Experiment

Peter Koudijs
Journal of Finance, 2015 August 6, 2015

What explains short-term fluctuations of stock prices? This paper exploits a natural experiment from the 18th century in which information flows 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.

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