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

34 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)3289-3301
Number of pages13
JournalJournal of Banking and Finance
Volume36
Issue number12
DOIs
Publication statusPublished - Dec 2012
Externally publishedYes

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