Negative bubbles: What happens after a crash

被引：16

作者：

Goetzmann, William N. ^{[1
]}

Kim, Dasol ^{[2
]}

机构：

[1] Yale Univ, Dept Finance, Yale Sch Management, New Haven, CT 06520 USA

[2] US Dept Treasury, Off Financial Res, Washington, DC 20226 USA

来源：

EUROPEAN FINANCIAL MANAGEMENT | 2018年 / 24卷 / 02期

关键词：

global markets; negative bubbles; stock market crash; MARKETS; CRISES; CYCLE;

D O I：

10.1111/eufm.12164

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

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.

引用

页码：171 / 191

页数：21

共 24 条

[1]

Ang A., 2014, ROTMAN INT J PENSION, V7, P16

[2]

Barro RJ, 2008, BROOKINGS PAP ECO AC, P255

[3]

Barro RJ, 2017, RES ECON, V71, P384, DOI 10.1016/j.rie.2017.04.001

[4] Time-varying rare disaster risk and stock returns [J].

Berkman, Henk ;

Jacobsen, Ben ;

Lee, John B. .

JOURNAL OF FINANCIAL ECONOMICS, 2011, 101 (02) :313-332

[5]

Bialkowski J. P., 2016, FINANCIAL MARK UNPUB

[6] A Macroeconomic Model with a Financial Sector [J].

Brunnermeier, Markus K. ;

Sannikov, Yuliy .

AMERICAN ECONOMIC REVIEW, 2014, 104 (02) :379-421

[7] Market Liquidity and Funding Liquidity [J].

Brunnermeier, Markus K. ;

Pedersen, Lasse Heje .

REVIEW OF FINANCIAL STUDIES, 2009, 22 (06) :2201-2238

[8] Asset fire sales (and purchases) in equity markets [J].

Coval, Joshua ;

Stafford, Erik .

JOURNAL OF FINANCIAL ECONOMICS, 2007, 86 (02) :479-512

[9]

Dimson E., 2017, CREDIT SUISSE GLOBAL

[10] Consistent covariance matrix estimation with spatially dependent panel data [J].

Driscoll, JC ;

Kraay, AC .

REVIEW OF ECONOMICS AND STATISTICS, 1998, 80 (04) :549-560

← 1 2 3 →