This paper investigates the presence of asymmetric effects of stock returns on real consumption in the US. After identifying the asymmetric behavior for consumption as well as the wealth effect, the results confirm that stock returns have an asymmetric effect on real consumption, with negative 'news' affecting consumption more than positive 'news'.
Apergis, Nicholas and Miller, Stephen M., "Consumption Asymmetry and the Stock Market: Further Evidence" (2004). Economics Working Papers. Paper 200419.