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 journalArticleResearchpeer-review

4 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 languageEnglish
Pages (from-to)4488-4500
Number of pages13
JournalJournal of Banking and Finance
Volume37
Issue number11
DOIs
Publication statusPublished - Nov 2013
Externally publishedYes

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