Negative Bubbles: What Happens after a Crash

33 Pages Posted: 18 Sep 2017

See all articles by William N. Goetzmann

William N. Goetzmann

Yale School of Management - International Center for Finance; National Bureau of Economic Research (NBER)

Dasol Kim

Office of Financial Research, US Department of the Treasury

Multiple version iconThere are 2 versions of this paper

Date Written: September 2017

Abstract

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.

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Suggested Citation

Goetzmann, William N. and Kim, Dasol, Negative Bubbles: What Happens after a Crash (September 2017). NBER Working Paper No. w23830. Available at SSRN: https://ssrn.com/abstract=3038658

William N. Goetzmann (Contact Author)

Yale School of Management - International Center for Finance ( email )

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National Bureau of Economic Research (NBER)

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Dasol Kim

Office of Financial Research, US Department of the Treasury ( email )

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Washington, DC 20220
United States

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