The power of bad: The negativity bias in Australian consumer sentiment announcements on stock returns
作者： Shumi Akhtar , Robert Faff , Barry Oliver , Avanidhar Subrahmanyam
DOI: 10.1016/J.JBANKFIN.2010.10.014
关键词:
摘要: This paper examines the equity market reaction to monthly release of Australian consumer sentiment news. Our results indicate that has valuable information content. Further, we document a version “negativity effect” (from psychology literature) in which, upon announcement bad (good) news, experiences significant negative (no) day effect. Notably, find recovers from news shock relatively quickly post-announcement. The are robust broad range additional tests.
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