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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, 2012. "Stock salience and the asymmetric market effect of consumer sentiment news," Journal of Banking & Finance, Elsevier, vol. 36(12), pages 3289-3301.
  • Handle: RePEc:eee:jbfina:v:36:y:2012:i:12:p:3289-3301
    DOI: 10.1016/j.jbankfin.2012.07.019
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    References listed on IDEAS

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    Cited by:

    1. Lin, Mei-Chen, 2015. "Seasonal affective disorder and investors’ response to earnings news," International Review of Financial Analysis, Elsevier, vol. 42(C), pages 211-221.
    2. Daniel Martin Katz & Michael J Bommarito II & Tyler Soellinger & James Ming Chen, 2015. "Law on the Market? Abnormal Stock Returns and Supreme Court Decision-Making," Papers 1508.05751, arXiv.org, revised May 2017.
    3. Khuu, Joyce & Durand, Robert B. & Smales, Lee A., 2016. "Melancholia and Japanese stock returns – 2003 to 2012," Pacific-Basin Finance Journal, Elsevier, vol. 40(PB), pages 424-437.
    4. William N. Goetzmann & Dasol Kim & Robert J. Shiller, 2016. "Crash Beliefs From Investor Surveys," NBER Working Papers 22143, National Bureau of Economic Research, Inc.
    5. Nikolaos Sariannidis & Grigoris Giannarakis & Eleni Zafeiriou & Ioannis Billias, 2016. "The Effect of Crude Oil Price Moments on Socially Responsible Firms in Eurozone," International Journal of Energy Economics and Policy, Econjournals, vol. 6(2), pages 356-363.
    6. Malay Biswas, 2017. "Are They Efficient in the Middle? Using Propensity Score Estimation for Modeling Middlemen in Indian Corporate Corruption," Journal of Business Ethics, Springer, vol. 141(3), pages 563-586, March.
    7. Mehrafshan, Nima & Goerke, Björn & Clement, Michel, 2016. "The Effect of Unexpected Chart Positions on the Firm Value of Music Labels. An Event Study of Album Success," EconStor Preprints 142161, ZBW - German National Library of Economics.
    8. Akhtar, Shumi, 2016. "Privatization decisions of Australian firms: An empirical investigation," Pacific-Basin Finance Journal, Elsevier, vol. 39(C), pages 243-255.
    9. repec:eee:ecofin:v:42:y:2017:i:c:p:107-131 is not listed on IDEAS

    More about this item

    Keywords

    Sentiment; Stock market returns; Market efficiency;

    JEL classification:

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

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