Efficient markets: land and slave prices in Henrico County, Virginia, 1782-1863

Abstract

Asset market efficiency fosters rational decisions on allocating resources, both individually and socially, and thus helps determine individuals' wealth accumulation and nations' economic growth. To date, however, there are little systematic data available for, and even less analysis of, US capital markets during the late eighteenth and mid-nineteenth centuries, a period of great transformation and growth. This paper is a preliminary exploration of market efficiency in two early US asset markets, looking at prices of land and slaves in Henrico County, Virginia, from the 1780s to the 1860s. Our hypothesis tests on both the price of and returns to Henrico County land and slaves provide evidence that land and slave markets in late eighteenth and early nineteenth century US were weak-form efficient, suggesting that available information was quickly and fully incorporated into prices in these early North American asset markets.efficient markets, random walk, Dickey-Fuller, KPSS test, slave prices, land prices