Journal
JOURNAL OF BANKING & FINANCE
Volume 36, Issue 12, Pages 3289-3301Publisher
ELSEVIER SCIENCE BV
DOI: 10.1016/j.jbankfin.2012.07.019
Keywords
Sentiment; Stock market returns; Market efficiency
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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. (C) 2012 Elsevier B.V. All rights reserved.
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