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Crash Narratives

Author

Listed:
  • Dasol Kim
  • William Goetzmann
  • Robert Shiller

Abstract

Narratives about past stock market crashes may affect investor concerns about crashes and create feedback loops in current markets (Working Paper no. 23-10).

Suggested Citation

  • Dasol Kim & William Goetzmann & Robert Shiller, 2023. "Crash Narratives," Working Papers 23-10, Office of Financial Research, US Department of the Treasury.
    • Handle: RePEc:ofr:wpaper:23-10
    as

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    File URL: https://www.financialresearch.gov/working-papers/files/OFRwp-23-10-crash-narratives.pdf
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    References listed on IDEAS

    as
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    7. Bertsch, Christoph & Hull, Isaiah & Zhang, Xin, 2021. "Narrative fragmentation and the business cycle," Economics Letters, Elsevier, vol. 201(C).
    8. Ian Martin, 2017. "What is the Expected Return on the Market?," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 132(1), pages 367-433.
    9. David Berger & Ian Dew-Becker & Stefano Giglio, 2020. "Uncertainty Shocks as Second-Moment News Shocks," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 87(1), pages 40-76.
    10. Nicholas Barberis, 2013. "The Psychology of Tail Events: Progress and Challenges," American Economic Review, American Economic Association, vol. 103(3), pages 611-616, May.
    11. Cosemans, Mathijs & Frehen, Rik, 2021. "Salience theory and stock prices: Empirical evidence," Journal of Financial Economics, Elsevier, vol. 140(2), pages 460-483.
    12. Manela, Asaf & Moreira, Alan, 2017. "News implied volatility and disaster concerns," Journal of Financial Economics, Elsevier, vol. 123(1), pages 137-162.
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