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) | 3289-3301 |
| Number of pages | 13 |
| Journal | Journal of Banking and Finance |
| Volume | 36 |
| Issue number | 12 |
| DOIs | |
| Publication status | Published - Dec 2012 |
| Externally published | Yes |
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Reprint of: Stock salience and the asymmetric market effect of consumer sentiment news
Akhtar, S., Faff, R., Oliver, B. & Subrahmanyam, A., Nov 2013, In: Journal of Banking and Finance. 37, 11, p. 4488-4500 13 p.Research output: Contribution to journal › Article › Research › peer-review
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