Stock salience and the asymmetric market effect of consumer sentiment news |
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| Authors: | Shumi Akhtar Robert Faff Barry Oliver Avanidhar Subrahmanyam |
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| Affiliation: | 1. School of Finance, Actuarial Studies and Applied Statistics, Australian National University, Canberra 0200, Australia;2. UQ Business School, The University of Queensland, Brisbane, Queensland, Australia;3. The Anderson School, UCLA, Los Angeles, CA, USA |
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| 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. |
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| Keywords: | G14 |
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