Reprint of: Stock salience and the asymmetric market effect of consumer sentiment news
Barry Oliver and
Journal of Banking & Finance, 2013, vol. 37, issue 11, 4488-4500
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.
Keywords: Sentiment; Stock market returns; Market efficiency (search for similar items in EconPapers)
JEL-codes: G14 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:jbfina:v:37:y:2013:i:11:p:4488-4500
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