TY - JOUR
T1 - The power of bad
T2 - The negativity bias in Australian consumer sentiment announcements on stock returns
AU - Akhtar, Shumi
AU - Faff, Robert
AU - Oliver, Barry
AU - Subrahmanyam, Avanidhar
PY - 2011/5
Y1 - 2011/5
N2 - 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.
AB - 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.
KW - G14
KW - Investor sentiment
KW - Market efficiency
KW - Stock market returns
UR - http://www.scopus.com/inward/record.url?scp=79952747134&partnerID=8YFLogxK
U2 - 10.1016/j.jbankfin.2010.10.014
DO - 10.1016/j.jbankfin.2010.10.014
M3 - Article
SN - 0378-4266
VL - 35
SP - 1239
EP - 1249
JO - Journal of Banking and Finance
JF - Journal of Banking and Finance
IS - 5
ER -