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The power of bad: The negativity bias in Australian consumer sentiment announcements on stock returns

Akhtar, Shumi; Faff, Robert; Oliver, Barry; Subrahmanyam, Avanidhar

Description

This paper examines the equity market reaction to the monthly release of Australian consumer sentiment news. Our results indicate that consumer sentiment has valuable information content. Further, we document a version of the " negativity effect" (from the psychology literature) in which, upon announcement of bad (good) sentiment news, the equity market experiences a significant negative (no) announcement day effect. Notably, we find that the market recovers from the bad news shock relatively...[Show more]

CollectionsANU Research Publications
Date published: 2011
Type: Journal article
URI: http://hdl.handle.net/1885/57305
Source: Journal of Banking and Finance
DOI: 10.1016/j.jbankfin.2010.10.014

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