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Beruházás és buborék: mennyire jellemző a kipukkadás?

BlogMadarász Aladár

Bubble Investing: Learning from History

William N. Goetzmann

NBER Working Paper No. 21693
Issued in October 2015
NBER Program(s):   AP

History is important to the study of financial bubbles precisely because they are extremely rare events, but history can be misleading. The rarity of bubbles in the historical record makes the sample size for inference small. Restricting attention to crashes that followed a large increase in market level makes negative historical outcomes salient. In this paper I examine the frequency of large, sudden increases in market value in a broad panel data of world equity markets extending from the beginning of the 20th century. Markets that doubled in real terms in a single year had a 6.9% probability of halving in value the following year and a 17.2% chance of halving in value over the subsequent five years. In simple terms, bubbles are booms that went bad. Not all booms are bad. This paper is available as PDF (743 K).

A non-technical summary of this paper is available in the January 2016 NBER digest.  
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Matt Nesvisky
Market Bubbles: What Goes Up Doesn’t Always Come Down
Monday, January 11, 2016 – http://www.nber.org/

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