Stock salience and the asymmetric market effect of consumer sentiment news

► We examine the announcement of consumer sentiment on US stock and futures markets. ► We find that the consumer sentiment announcement has valuable information content. ► An asymmetric response is observed for “good” versus “bad” sentiment news. ► The effect of negative consumer sentiment announcem...

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Bibliographic Details
Published in:Journal of banking & finance 2012-12, Vol.36 (12), p.3289-3301
Main Authors: Akhtar, Shumi, Faff, Robert, Oliver, Barry, Subrahmanyam, Avanidhar
Format: Article
Language:English
Subjects:
Asymmetric information
Consumer attitudes
Futures market
Hypothesis
Information
Market efficiency
Morals
News
Rates of return
Sentiment
Stock management
Stock market returns
Stock returns
Studies
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Summary:► We examine the announcement of consumer sentiment on US stock and futures markets. ► We find that the consumer sentiment announcement has valuable information content. ► An asymmetric response is observed for “good” versus “bad” sentiment news. ► The effect of negative consumer sentiment announcements is in salient stocks. ► The results support the availability heuristic. 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.
ISSN:0378-4266
1872-6372
DOI:10.1016/j.jbankfin.2012.07.019