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

Shumi Akhtar, Robert Faff, Barry Oliver and Avanidhar Subrahmanyam

Journal of Banking & Finance, 2011, vol. 35, issue 5, 1239-1249

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.

Keywords: G14; Investor; sentiment; Stock; market; returns; Market; efficiency (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (62)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jbfina:v:35:y:2011:i:5:p:1239-1249

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