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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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.
Creators(s): | Akhtar, S, Faff, Robert, Oliver, B and Subrahmanyam, A; | Item type: | Article |
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ID code: | 41690 |
Keywords: | investor sentiment, stock market returns, market efficiency, Accounting, Finance, Economics and Econometrics |
Subjects: | Social Sciences > Commerce > Accounting |
Department: | Strathclyde Business School > Accounting and Finance |
Depositing user: | Pure Administrator |
Date deposited: | 24 Oct 2012 11:59 |
Last modified: | 18 Dec 2020 03:29 |
URI: | https://strathprints.strath.ac.uk/id/eprint/41690 |
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