Article ID Journal Published Year Pages File Type
5089170 Journal of Banking & Finance 2013 13 Pages PDF
Abstract

•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.

Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
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