The power of bad: The negativity bias in Australian consumer sentiment announcements on stock returns
Date
2011
Authors
Akhtar, Shumi
Faff, Robert
Oliver, Barry
Subrahmanyam, Avanidhar
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Publisher
Elsevier
Abstract
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 quickly post-announcement. The results are robust to a broad range of additional tests.
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Keywords
Keywords: G14; Investor sentiment; Market efficiency; Stock market returns
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Source
Journal of Banking and Finance
Type
Journal article
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Restricted until
2037-12-31
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