Stock salience and the asymmetric market effect of consumer sentiment news
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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|Source:||Journal of Banking and Finance|
|01_Akhtar_Stock_salience_and_the_2012.pdf||280.81 kB||Adobe PDF||Request a copy|
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