NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH
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Dasol Kim

Office of Financial Research
U.S. Department of Treasury
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Institutional Affiliation: Office of Financial Research

NBER Working Papers and Publications

September 2017Negative Bubbles: What Happens After a Crash
with William N. Goetzmann: w23830
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.

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

April 2016Crash Beliefs From Investor Surveys
with William N. Goetzmann, Robert J. Shiller: w22143
Historical data suggest that the base rate for a severe, single-day stock market crash is relatively low. Surveys of individual and institutional investors, conducted regularly over a 26-year period in the United States, show that they assess the probability to be much higher. We examine factors influencing investor responses and test the role of media influence, finding evidence consistent with an availability bias. Adverse market events made salient by financial press are associated with higher subjective crash probabilities. Exogenous shocks related to earthquakes are also associated with higher probabilities. Finally, subjective crash probabilities are negatively associated with mutual fund flows.
 
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