Journal of Banking & Finance Vol. 36 No. 12 2012

Stock salience and the asymmetric market effect of consumer sentiment news

Shumi Akhtar¹; Robert W. Faff²; Barry Oliver¹; Avanidhar Subrahmanyam³

¹ Australian National University · ² The University of Queensland · ³ University of California, Los Angeles

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.

DOI

10.1016/j.jbankfin.2012.07.019

Volume

36

Issue

12

Pages

3289-3301

Language

en

Sources

crossref openalex bibtex:phds-export.bib

Cite

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