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 › Research › peer-review

6 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
Externally published	Yes

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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.",

author = "Shumi Akhtar and Robert Faff and Barry Oliver and Avanidhar Subrahmanyam",

year = "2013",

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AU - Subrahmanyam, Avanidhar

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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.

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ER -

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

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Stock salience and the asymmetric market effect of consumer sentiment news

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

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Stock salience and the asymmetric market effect of consumer sentiment news

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