期刊
JOURNAL OF BANKING & FINANCE
卷 35, 期 5, 页码 1239-1249出版社
ELSEVIER
DOI: 10.1016/j.jbankfin.2010.10.014
关键词
Investor sentiment; Stock market returns; Market efficiency
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. (C) 2010 Elsevier B.V. All rights reserved.
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