IDEAS home Printed from https://ideas.repec.org/p/ofr/wpaper/23-10.html

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

    Download full text from publisher

    File URL: https://www.financialresearch.gov/working-papers/files/OFRwp-23-10-crash-narratives.pdf
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Ivo Welch, 2016. "The (Time-Varying) Importance of Disaster Risk," Financial Analysts Journal, Taylor & Francis Journals, vol. 72(5), pages 14-30, September.
    2. Bertsch, Christoph & Hull, Isaiah & Zhang, Xin, 2021. "Narrative fragmentation and the business cycle," Economics Letters, Elsevier, vol. 201(C).
    3. 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.
    4. Pedro Bordalo & Nicola Gennaioli & Andrei Shleifer, 2013. "Salience and Asset Prices," American Economic Review, American Economic Association, vol. 103(3), pages 623-628, May.
    5. Nicola Gennaioli & Andrei Shleifer, 2010. "What Comes to Mind," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 125(4), pages 1399-1433.
    6. Ian W. R. Martin & Christian Wagner, 2019. "What Is the Expected Return on a Stock?," Journal of Finance, American Finance Association, vol. 74(4), pages 1887-1929, August.
    7. Greifeneder, Rainer & Bless, Herbert, 2007. "Relying on accessible content versus accessibility experiences: The case of processing capacity," Sonderforschungsbereich 504 Publications 07-32, Sonderforschungsbereich 504, Universität Mannheim;Sonderforschungsbereich 504, University of Mannheim.
    8. Larsen, Vegard H. & Thorsrud, Leif Anders & Zhulanova, Julia, 2021. "News-driven inflation expectations and information rigidities," Journal of Monetary Economics, Elsevier, vol. 117(C), pages 507-520.
    9. Pedro Bordalo & Nicola Gennaioli & Andrei Shleifer, 2012. "Salience Theory of Choice Under Risk," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 127(3), pages 1243-1285.
    10. Zhi Da & Joseph Engelberg & Pengjie Gao, 2011. "In Search of Attention," Journal of Finance, American Finance Association, vol. 66(5), pages 1461-1499, October.
    11. Ryan Chahrour & Kristoffer Nimark & Stefan Pitschner, 2021. "Sectoral Media Focus and Aggregate Fluctuations," American Economic Review, American Economic Association, vol. 111(12), pages 3872-3922, December.
    12. Jessica A. Wachter, 2013. "Can Time-Varying Risk of Rare Disasters Explain Aggregate Stock Market Volatility?," Journal of Finance, American Finance Association, vol. 68(3), pages 987-1035, June.
    13. 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.
    14. Nicholas Barberis, 2013. "The Psychology of Tail Events: Progress and Challenges," American Economic Review, American Economic Association, vol. 103(3), pages 611-616, May.
    15. Cosemans, Mathijs & Frehen, Rik, 2021. "Salience theory and stock prices: Empirical evidence," Journal of Financial Economics, Elsevier, vol. 140(2), pages 460-483.
    16. Manela, Asaf & Moreira, Alan, 2017. "News implied volatility and disaster concerns," Journal of Financial Economics, Elsevier, vol. 123(1), pages 137-162.
    17. Sendhil Mullainathan, 2002. "A Memory-Based Model of Bounded Rationality," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 117(3), pages 735-774.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Hu, Shiyang & Xiang, Cheng & Quan, Xiaofeng, 2023. "Salience theory and mutual fund flows: Empirical evidence from China," Emerging Markets Review, Elsevier, vol. 54(C).
    2. Marfè, Roberto & Pénasse, Julien, 2024. "Measuring macroeconomic tail risk," Journal of Financial Economics, Elsevier, vol. 156(C).
    3. López-Pérez, Raúl & Rodriguez-Moral, Antonio & Vorsatz, Marc, 2021. "Simplified mental representations as a cause of overprecision," Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics), Elsevier, vol. 92(C).
    4. Fousseni Chabi-Yo & Johnathan A. Loudis, 2024. "A Decomposition of Conditional Risk Premia and Implications for Representative Agent Models," Management Science, INFORMS, vol. 70(10), pages 6804-6834, October.
    5. Lu, Ruochen & Chen, Yang & Ye, Qing & Wu, Yuliang, 2026. "Investor attention and the salience effect in the Chinese stock market: Insights from the COVID-19 pandemic," International Review of Economics & Finance, Elsevier, vol. 105(C).
    6. Sun, Kaisi & Wang, Hui & Zhu, Yifeng, 2023. "Salience theory in price and trading volume: Evidence from China," Journal of Empirical Finance, Elsevier, vol. 70(C), pages 38-61.
    7. Fisher, Adlai & Knesl, Jiří & Lee, Ryan C.Y., 2025. "How valuable is corporate adaptation to crisis? Estimates from Covid-19 work-from-home announcements," Journal of Financial Economics, Elsevier, vol. 174(C).
    8. Dertwinkel-Kalt, Markus & Köster, Mats, 2017. "Local thinking and skewness preferences," DICE Discussion Papers 248, Heinrich Heine University Düsseldorf, Düsseldorf Institute for Competition Economics (DICE).
    9. Juan M. Londono & Mehrdad Samadi, 2023. "The Price of Macroeconomic Uncertainty: Evidence from Daily Options," International Finance Discussion Papers 1376, Board of Governors of the Federal Reserve System (U.S.).
    10. Cakici, Nusret & Zaremba, Adam, 2022. "Salience theory and the cross-section of stock returns: International and further evidence," Journal of Financial Economics, Elsevier, vol. 146(2), pages 689-725.
    11. Mohrschladt, Hannes, 2021. "The ordering of historical returns and the cross-section of subsequent returns," Journal of Banking & Finance, Elsevier, vol. 125(C).
    12. Scott Duke Kominers & Xiaosheng Mu & Alexander Peysakhovich, 2019. "Paying for Attention: The Impact of Information Processing Costs on Bayesian Inference," Working Papers 2019-31, Princeton University. Economics Department..
    13. Mathias Krogh & Giovanni Pellegrino, 2024. "Real Activity and Uncertainty Shocks: The Long and the Short of It," "Marco Fanno" Working Papers 0310, Dipartimento di Scienze Economiche "Marco Fanno".
    14. Devdeepta Bose & Henning Cordes & Sven Nolte & Judith Christiane Schneider & Colin Farrell Camerer, 2022. "Decision Weights for Experimental Asset Prices Based on Visual Salience," The Review of Financial Studies, Society for Financial Studies, vol. 35(11), pages 5094-5126.
    15. Lin, Mei-Chen, 2024. "Salience, psychological anchors, and stock return predictability," Pacific-Basin Finance Journal, Elsevier, vol. 88(C).
    16. Cheema, Arbab K. & Eshraghi, Arman & Wang, Qingwei, 2023. "Macroeconomic news and price synchronicity," Journal of Empirical Finance, Elsevier, vol. 73(C), pages 390-412.
    17. Abel , Martin & Cole, Shawn & Zia, Bilal, 2015. "Debiasing on a roll: changing gambling behavior through experiential learning," Policy Research Working Paper Series 7195, The World Bank.
    18. Fabio Römeis & Fabian Herweg & Daniel Müller, 2022. "Salience Bias and Overwork," Games, MDPI, vol. 13(1), pages 1-22, January.
    19. Attílio, Luccas Assis & Mollick, André Varella, 2024. "Assessing the baseline model of WTI oil and stock returns under financial volatility and spillover effects," Energy Economics, Elsevier, vol. 135(C).
    20. Qiang Chen & Xinyi Song, 2026. "Crash Risk Matters: An Option‐Implied Approach to the Expected Market Return," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 46(3), pages 511-528, March.

    More about this item

    Keywords

    ;
    ;
    ;

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ofr:wpaper:23-10. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Corey Garriott (email available below). General contact details of provider: https://edirc.repec.org/data/ofrgvus.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.