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

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dc.contributor.authorAkhtar, Shumi
dc.contributor.authorFaff, Robert
dc.contributor.authorOliver, Barry
dc.contributor.authorSubrahmanyam, Avanidhar
dc.date.accessioned2015-12-10T22:39:43Z
dc.date.issued2011
dc.date.updated2016-02-24T08:28:13Z
dc.description.abstractThis 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.
dc.identifier.issn0378-4266
dc.identifier.urihttp://hdl.handle.net/1885/57305
dc.publisherElsevier
dc.sourceJournal of Banking and Finance
dc.subjectKeywords: G14; Investor sentiment; Market efficiency; Stock market returns
dc.titleThe power of bad: The negativity bias in Australian consumer sentiment announcements on stock returns
dc.typeJournal article
local.bibliographicCitation.lastpage1249
local.bibliographicCitation.startpage1239
local.contributor.affiliationAkhtar, Shumi, College of Business and Economics, ANU
local.contributor.affiliationFaff, Robert, University of Queensland
local.contributor.affiliationOliver, Barry, College of Business and Economics, ANU
local.contributor.affiliationSubrahmanyam, Avanidhar, The Anderson School
local.contributor.authoruidAkhtar, Shumi, u4027886
local.contributor.authoruidOliver, Barry, u9114048
local.description.embargo2037-12-31
local.description.notesImported from ARIES
local.identifier.absfor150205 - Investment and Risk Management
local.identifier.ariespublicationf2965xPUB395
local.identifier.citationvolume35
local.identifier.doi10.1016/j.jbankfin.2010.10.014
local.identifier.scopusID2-s2.0-79952747134
local.type.statusPublished Version

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