Identificador persistente para citar o vincular este elemento: http://hdl.handle.net/10553/47026
Título: Do product innovation and news about the R&D process produce large price changes and overreaction?: the case of pharmaceutical stock prices
Autores/as: Pérez Rodríguez, Jorge Vicente 
González Lopez-Valcarcel, Beatriz 
Clasificación UNESCO: 531207 Sanidad
Palabras clave: Medicamentos
Precios
Fecha de publicación: 2012
Editor/a: 0003-6846
Publicación seriada: Applied economics (Print) 
Resumen: Do extreme price changes of pharmaceutical stocks reflect unexpected scientific information produced during the drug R&D process, especially the approval of new drugs, but also pre- and clinical trial results, recalls and withdrawals? Do stock prices initially overreact to such information? We modelled market-adjusted daily changes in stock prices of the 17 biggest pharmaceutical firms worldwide for the period from 1989 to 2008 to detect large price changes (outliers), using an Autoregressive Moving Average-Generalized Autoregressive Conditional Heteroscedasticity (ARMA-GARCH) dynamic econometric model. Then, we matched those outliers with news produced during the drug R&D process, and tested the hypothesis of no overreaction by examining cumulative abnormal returns. Our results show that there were 261 abnormal market-adjusted daily returns. In 60% of the cases, we were able to assign a plausible cause; i.e. Food and Drug Administration (FDA) approvals in 6% of these cases, news of a scientific nature in another 25%. Only 10 of 1721 FDA approvals of new drugs during the study period were related to abnormally large returns. The impact of negative news items on stock prices is larger than of positive news items. The overreaction hypothesis is rejected; there is no price backlash, therefore, the efficient market hypothesis is not violated.
URI: http://hdl.handle.net/10553/47026
ISSN: 0003-6846
DOI: 10.1080/00036846.2011.562172
Fuente: Applied Economics[ISSN 0003-6846],v. 44, p. 2217-2229
Colección:Artículos
Vista completa

Google ScholarTM

Verifica

Altmetric


Comparte



Exporta metadatos



Los elementos en ULPGC accedaCRIS están protegidos por derechos de autor con todos los derechos reservados, a menos que se indique lo contrario.