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 (https://doi.org/10.1016/j.jbankfin.2010.10.014)

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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.

  • Item type:Article
    ID code:41690
    Dates:
    Date
    Event
    May 2011
    Published
    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:30 Jul 2021 02:19
    URI:https://strathprints.strath.ac.uk/id/eprint/41690
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