Negative bubbles: What happens after a crash
William N. GoetzmannFinance Department Yale School of Management Yale University New Haven ConnecticutDasol KimOffice of Financial Research US Department of Treasury Washington District of Columbia
2017en
ABI
Abstract
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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