|
|||||
|
|
The power of bad: The negativity bias in Australian consumer sentiment announcements on stock returns |
|
| Authors: | Shumi Akhtar Avanidhar Subrahmanyam |
| Institution: | a School of Finance, Actuarial Studies and Applied Statistics, Australian National University, Canberra, ACT, Australia b UQ Business School, University of Queensland, Brisbane, Queensland, Australia c The Anderson School, UCLA, Los Angeles, CA, USA |
| 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 |
| 本文献已被 ScienceDirect 等数据库收录！ | |