Decomposing the Effect of Consumer Sentiment News - Evidence from US Stock and Stock Index Futures Markets
40 Pages Posted: 7 Feb 2011 Last revised: 10 Feb 2011
Date Written: February 6, 2011
Abstract
We examine the announcement effects of consumer sentiment on US stock and stock futures markets. First, we find that the consumer sentiment announcement has valuable information content. Second, an asymmetric response is observed for “good” versus “bad” sentiment news. Specifically, when a lower (higher) than previous month consumer sentiment index is announced, equity and futures markets experience a significant negative announcement day (no) effect. This supports the “negativity effect” (identified from the psychology literature). Third, the effect of negative consumer sentiment announcements is evident in salient stocks rather than in sentiment prone stocks. This supports the availability heuristic.
Keywords: Consumer sentiment, behavioural finance, stock market
JEL Classification: G1, G14
Suggested Citation: Suggested Citation
Do you have negative results from your research you’d like to share?
Recommended Papers
-
Investor Sentiment and the Cross-Section of Stock Returns
By Malcolm P. Baker and Jeffrey Wurgler
-
Investor Sentiment and the Cross-Section of Stock Returns
By Malcolm P. Baker and Jeffrey Wurgler
-
Investor Sentiment and the Cross-Section of Stock Returns
By Malcolm P. Baker and Jeffrey Wurgler
-
Investor Sentiment and the Cross-Section of Stock Returns
By Malcolm P. Baker and Jeffrey Wurgler
-
Investor Sentiment and the Cross-Section of Stock Returns
By Malcolm P. Baker and Jeffrey Wurgler
-
How Does Investor Sentiment Affect the Cross-Section of Stock Returns?
By John Wang, Jeffrey Wurgler, ...
-
Market Liquidity as a Sentiment Indicator
By Malcolm P. Baker and Jeremy C. Stein
-
Market Liquidity as a Sentiment Indicator
By Malcolm P. Baker and Jeremy C. Stein
-
Investor Sentiment in the Stock Market
By Malcolm P. Baker and Jeffrey Wurgler
-
Investor Sentiment in the Stock Market
By Malcolm P. Baker and Jeffrey Wurgler