Journal of Banking & Finance Vol. 37 No. 11 2013

Reprint of: 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.2013.07.032

Volume

37

Issue

11

Pages

4488-4500

Language

en

Sources

bibtex:phds-export.bib openalex crossref

Cite

APA 7 MLA 9 Chicago (author–date) Harvard Elsevier Harvard (JFE, JBF…) The Accounting Review Academy of Management American Marketing Association INFORMS (Management Science) Copy citation Copied ✓