Heterogeneity in bubble experience across firms: an examination of the tech bubble

ABSTRACT

We study heterogeneity in bubble experience across individual stocks. Applying the date-stamping technique and using the tech bubble in late 1990s as our laboratory, we find that tech firms vary in whether, when and how long they experience bubbles. In multivariate regressions, we find that bubbles are more likely to happen and they on average last longer in more liquid stocks, in smaller firms, in fast-growing firms and in firms with higher ownership by institutional non-blockholders rather than blockholders.

KEYWORDS:

• Stock market
• bubble
• heterogeneity
• tech bubble

JEL CLASSIFICATION:

• G12
• G14
• G41

Disclosure statement

No potential conflict of interest was reported by the author(s).

Notes

¹ See https://www.goldmansachs.com/our-firm/history/moments/2000-dot-com-bubble.html. There is also literature on calendar effects (Bouman and Jacobsen 2002; Do and Le 2016)

² Our results are robust to (i) the inclusion of (4-digit) segment fixed effects, (ii) the use of bootstrap or Huber-White standard errors for inference or (iii) the use of the traditional OLS for estimation.

Additional information

Funding

This research is funded by Foreign Trade University under research programme number [FTURP02-2023-02].