Stock salience and the asymmetric market effect of consumer sentiment news

Shumi Akhtar; Robert Faff; Barry Oliver; Avanidhar Subrahmanyam

doi:10.1016/j.jbankfin.2012.07.019

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

51 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)	3289-3301
Number of pages	13
Journal	Journal of Banking and Finance
Volume	36
Issue number	12
DOIs	https://doi.org/10.1016/j.jbankfin.2012.07.019
Publication status	Published - Dec 2012
Externally published	Yes

Access to Document

10.1016/j.jbankfin.2012.07.019

Cite this

@article{947be3c8902a4f2384b36ca7b87328a3,

title = "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 = "2012",

month = dec,

doi = "10.1016/j.jbankfin.2012.07.019",

language = "English",

volume = "36",

pages = "3289--3301",

journal = "Journal of Banking and Finance",

issn = "0378-4266",

publisher = "Elsevier",

number = "12",

}

TY - JOUR

T1 - Stock salience and the asymmetric market effect of consumer sentiment news

AU - Akhtar, Shumi

AU - Faff, Robert

AU - Oliver, Barry

AU - Subrahmanyam, Avanidhar

PY - 2012/12

Y1 - 2012/12

N2 - 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.

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.

UR - http://www.scopus.com/inward/record.url?scp=84866858859&partnerID=8YFLogxK

U2 - 10.1016/j.jbankfin.2012.07.019

DO - 10.1016/j.jbankfin.2012.07.019

M3 - Article

AN - SCOPUS:84866858859

SN - 0378-4266

VL - 36

SP - 3289

EP - 3301

JO - Journal of Banking and Finance

JF - Journal of Banking and Finance

IS - 12

ER -

Stock salience and the asymmetric market effect of consumer sentiment news

Abstract

Access to Document

Other files and links

Fingerprint

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

Cite this

Stock salience and the asymmetric market effect of consumer sentiment news

Abstract

Access to Document

Other files and links

Fingerprint

Related Research Outputs

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

Cite this