Reprint of: Stock salience and the asymmetric market effect of consumer sentiment news

Shumi Akhtar; Robert Faff; Barry Oliver; Avanidhar Subrahmanyam

doi:10.1016/j.jbankfin.2013.07.032

Reprint of: Stock salience and the asymmetric market effect of consumer sentiment news

Shumi Akhtar
, Robert Faff
, Barry Oliver^*
, Avanidhar Subrahmanyam

^*Corresponding author for this work

Research output: Contribution to journal › Article › peer-review

7 Citations (Scopus)

Abstract

We document asymmetric announcement effects of consumer sentiment news on United States stock and stock futures markets. While a negative market effect occurs upon the release of bad sentiment news, there is no market reaction for the counterpart good news. This supports the "negativity effect" hypothesis. Notably, this effect seems most likely to occur in salient stocks, which is consistent with the availability heuristic.

Original language	English
Pages (from-to)	4488-4500
Number of pages	13
Journal	Journal of Banking and Finance
Volume	37
Issue number	11
DOIs	https://doi.org/10.1016/j.jbankfin.2013.07.032
Publication status	Published - Nov 2013

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10.1016/j.jbankfin.2013.07.032

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title = "Reprint of: Stock salience and the asymmetric market effect of consumer sentiment news",

abstract = "We document asymmetric announcement effects of consumer sentiment news on United States stock and stock futures markets. While a negative market effect occurs upon the release of bad sentiment news, there is no market reaction for the counterpart good news. This supports the {"}negativity effect{"} hypothesis. Notably, this effect seems most likely to occur in salient stocks, which is consistent with the availability heuristic.",

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AB - We document asymmetric announcement effects of consumer sentiment news on United States stock and stock futures markets. While a negative market effect occurs upon the release of bad sentiment news, there is no market reaction for the counterpart good news. This supports the "negativity effect" hypothesis. Notably, this effect seems most likely to occur in salient stocks, which is consistent with the availability heuristic.

KW - Market efficiency

KW - Sentiment

KW - Stock market returns

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JF - Journal of Banking and Finance

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Reprint of: Stock salience and the asymmetric market effect of consumer sentiment news

Abstract

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