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- W2210078109 abstract "This paper examines the equity market reaction to consumer sentiment in the context of the sentiment index issued by the Melbourne Institute of Applied Economics and Social Research. Unlike the Michigan index in the US, which is announced in phases, this index is announced once per month, which makes the Australian counterpart particularly useful for analyzing the announcement effects of sentiment. Our results indicate that consumer sentiment has valuable information content. Further, a version of the “negativity effect” (from the psychology literature) is documented in which an asymmetric response is observed with regard to “good” versus “bad” sentiment news. Specifically, when a lower (higher) than previous month consumer sentiment index is announced, the equity market experiences a significant negative announcement day (no) effect. The stock market recovers from the “bad sentiment news” shock, post announcement. The results are robust to a range of additional tests." @default.
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- W2210078109 date "2010-01-01" @default.
- W2210078109 modified "2023-09-26" @default.
- W2210078109 title "The Power of Bad: The Negativity Bias in Consumer Sentiment Announcements on Stock Returns" @default.
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- W2210078109 doi "https://doi.org/10.2139/ssrn.1625342" @default.
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