Stock salience and the asymmetric market effect of consumer sentiment news

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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Year of publication:	2012
Authors:	Akhtar, Shumi ; Faff, Robert ; Oliver, Barry ; Subrahmanyam, Avanidhar
Published in:	Journal of Banking & Finance. - Elsevier, ISSN 0378-4266. - Vol. 36.2012, 12, p. 3289-3301
Publisher:	Elsevier
Subject:	Sentiment \| Stock market returns \| Market efficiency

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Type of publication:	Article
Classification:	G14 - Information and Market Efficiency; Event Studies
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011065739