NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

Negative Bubbles: What Happens After a Crash

William N. Goetzmann, Dasol Kim

NBER Working Paper No. 23830
Issued in September 2017, Revised in January 2018
NBER Program(s):Asset Pricing

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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Document Object Identifier (DOI): 10.3386/w23830

Published: William N. Goetzmann & Dasol Kim, 2018. "Negative bubbles: What happens after a crash," European Financial Management, vol 24(2), pages 171-191.

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