Negative Bubbles: What Happens after a Crash

21 Pages Posted: 7 Mar 2018

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: March 2018

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.

Keywords: global markets, negative bubbles, stock market crash

Suggested Citation

Goetzmann, William N. and Kim, Dasol, Negative Bubbles: What Happens after a Crash (March 2018). European Financial Management, Vol. 24, Issue 2, pp. 171-191, 2018. Available at SSRN: https://ssrn.com/abstract=3135557 or http://dx.doi.org/10.1111/eufm.12164

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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