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Negative Bubbles: What Happens After a Crash

William Goetzmann () and Dasol Kim

No 23830, NBER Working Papers from National Bureau of Economic Research, Inc

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.

JEL-codes: G02 G11 G15 G17 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-rmg
Date: 2017-09
Note: AP
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Published as 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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