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

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  • Akhtar, Shumi
  • Faff, Robert
  • Oliver, Barry
  • Subrahmanyam, Avanidhar

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.

Suggested Citation

  • Akhtar, Shumi & Faff, Robert & Oliver, Barry & Subrahmanyam, Avanidhar, 2013. "Reprint of: Stock salience and the asymmetric market effect of consumer sentiment news," Journal of Banking & Finance, Elsevier, vol. 37(11), pages 4488-4500.
    • Handle: RePEc:eee:jbfina:v:37:y:2013:i:11:p:4488-4500
    DOI: 10.1016/j.jbankfin.2013.07.032
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    More about this item

    Keywords

    Sentiment; Stock market returns; Market efficiency;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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