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Strathprints makes available Open Access scholarly outputs by the Department of Accounting & Finance at Strathclyde. Particular research specialisms include financial risk management and investment strategies.

The Department also hosts the Centre for Financial Regulation and Innovation (CeFRI), demonstrating research expertise in fintech and capital markets. It also aims to provide a strategic link between academia, policy-makers, regulators and other financial industry participants.

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

Akhtar, S and Faff, Robert and Oliver, B and Subrahmanyam, A (2011) The power of bad : the negativity bias in Australian consumer sentiment announcements on stock returns. Journal of Banking and Finance, 35 (5). pp. 1239-1249. ISSN 0378-4266

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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.