TY - JOUR
T1 - Stock salience and the asymmetric market effect of consumer sentiment news
AU - Akhtar, Shumi
AU - Faff, Robert
AU - Oliver, Barry
AU - Subrahmanyam, Avanidhar
PY - 2012/12
Y1 - 2012/12
N2 - 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.
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
UR - https://www.scopus.com/pages/publications/84866858859
U2 - 10.1016/j.jbankfin.2012.07.019
DO - 10.1016/j.jbankfin.2012.07.019
M3 - Article
SN - 0378-4266
VL - 36
SP - 3289
EP - 3301
JO - Journal of Banking and Finance
JF - Journal of Banking and Finance
IS - 12
ER -