Negative Bubbles: What Happens After a Crash

William N. Goetzmann; Dasol Kim

doi:10.3386/w23830

Negative Bubbles: What Happens After a Crash

William N. Goetzmann & Dasol Kim

Working Paper 23830

DOI 10.3386/w23830

Issue Date September 2017

Revision Date January 2018

We study crashes using data from 101 global stock markets from 1692 to 2015. Extremely large, annual stock market declines are typically followed by positive returns. This is not true for smaller declines. This pattern does not appear to be driven by institutional frictions, financial crises, macroeconomic shocks, political conflicts, or survivorship issues.

The authors thank John Doukas (the Editor), Antti Ilmanen, Tyler Muir, Justin Murfin, Robert Shiller and the conference seminar participants at the Bank of England and participants in the European Financial Management Association Meeting in Athens, 2017. We thank Elroy Dimson, Paul Marsh and Mike Staunton for the use of their annual DMS data and acknowledge Global Financial Data & the International Center for Finance at the Yale School of Management as the source of monthly global market data. The opinions expressed are those of the authors and do not necessarily reflect those of the Office of Financial Research, the U.S. Department of the Treasury, or the National Bureau of Economic Research.
MARC RIS BibTeΧ
- September 13, 2017
- November 29, 2017

Negative Bubbles: What Happens After a Crash

Published Versions

Related

Topics

Programs

More from NBER