The stock market crash of 1929 was one of the worst stock market crashes in the history of the United States. Specification 1 shows no relationship between returns and average expectations, because it shows the mixed results of a positive relationship between changes in the DJIA and the average level of expectations in the pre-crash period and the temporary increase in expectations after the crash. In each regression, the right-hand side variables include three dummies for the four periods we focus on: February through June 2008 is the reference category, the first dummy is for July through September 2008, the…