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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


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
Source: Journal of Banking and Finance
DOI: 10.1016/j.jbankfin.2010.10.014


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