Stock salience and the asymmetric market effect of consumer sentiment news

Akhtar, Shumi, Faff, Robert, Oliver, Barry and Subrahmanyam, Avanidhar (2012) Stock salience and the asymmetric market effect of consumer sentiment news. Journal of Banking and Finance, 36 12: 3289-3301. doi:10.1016/j.jbankfin.2012.07.019

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Author Akhtar, Shumi
Faff, Robert
Oliver, Barry
Subrahmanyam, Avanidhar
Title Stock salience and the asymmetric market effect of consumer sentiment news
Journal name Journal of Banking and Finance   Check publisher's open access policy
ISSN 0378-4266
1872-6372
Publication date 2012-12
Sub-type Article (original research)
DOI 10.1016/j.jbankfin.2012.07.019
Open Access Status
Volume 36
Issue 12
Start page 3289
End page 3301
Total pages 13
Place of publication Amsterdam, Netherlands
Publisher Elsevier
Collection year 2013
Language eng
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.
Keyword Sentiment
Stock market returns
Market efficiency
Q-Index Code C1
Q-Index Status Confirmed Code
Institutional Status UQ
Additional Notes Available online 1 August 2012.

Document type: Journal Article
Sub-type: Article (original research)
Collections: Official 2013 Collection
UQ Business School Publications
 
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Citation counts: TR Web of Science Citation Count  Cited 11 times in Thomson Reuters Web of Science Article | Citations
Scopus Citation Count Cited 13 times in Scopus Article | Citations
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Created: Sun, 02 Dec 2012, 00:36:23 EST by System User on behalf of UQ Business School